01716cas a2200241 a 4500 AALejournalIMF000289 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451940886 1018-5941 BD-DhAAL BD-DhAAL Kramer, Charles. Macroeconomic Fluctuations and Equilibrium Discount Factors / Charles Kramer. Washington, D.C. : International Monetary Fund, 1996. 1 online resource (24 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students The estimation of discount factors is a central issue in empirical finance, particularly in the literature on excess volatility. In particular, it is difficult to find empirical discount factors that are volatile enough to account for fluctuations in asset prices. This paper constructs discount factors from some macroeconomic time series commonly used in empirical models of asset prices. Data for the U.S. stock market imply some evidence that discount factors relate to macroeconomic conditions, but comparison of the estimated discount factors to Hansen-Jagannathan (1991) bounds shows that the candidate discount factors cannot account for the volatility in asset returns. Mode of access: Internet IMF Working Papers; Working Paper ; No. 1996/118 Full text available on IMF http://elibrary.imf.org/view/journals/001/1996/118/001.1996.issue-118-en.xml IMF e-Library