Otrok, Christopher; Ravikumar, B; Whiteman, Charles - Volkswirtschaftliche Fakultät, … - 2001
volatility of the stochastic discount factor, for plausible values of risk aversion, is too low to be consistent with consumption … consumption growth moments imply changes in the mean of the stochastic discount factor, which render the volatility of the … stochastic discount factor to be too low relative to the bound. Asset-pricing models with frictions, however, are much more …