One view of the equity premium puzzle is that in the standard asset-pricing model with time-separable preferences, the volatility of the stochastic discount factor, for plausible values of risk aversion, is too low to be consistent with consumption and asset return data. We adopt this...

Is the risk aversion parameter in the simple intertemporal consumption CAPM “small” as in Hansen and Singleton (1982,1983), or is it that its reciprocal, the intertemporal elasticity of substitution, is small, as in Hall (1988)? This paper attributes the disparate estimates of this...

Bayesian forecasting is a natural product of a Bayesian approach to inference. The Bayesian approach in general requires explicit formulation of a model, and conditioning on known quantities, in order to draw inferences about unknown ones. In Bayesian forecasting, one simply takes a subset of...