Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/79520 
Year of Publication: 
2012
Series/Report no.: 
cemmap working paper No. CWP32/12
Publisher: 
Centre for Microdata Methods and Practice (cemmap), London
Abstract: 
This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model, evaluates the model's ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return. Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17-60, with higher values for aggregate consumption than for stockholder consumption, while the estimated elasticity of intertemporal substitution is above one. In addition, the estimated model-implied aggregate wealth return is found to be weakly correlated with the CRSP value-weighted stock market return, suggesting that the return to human wealth is negatively correlated with the aggregate stock market return.
JEL: 
G12
E21
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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