“Asset Pricing Explorations for Macroeconomics”
1992 NBER Macroeconomics Annual 115-165. (With Lars Peter Hansen) Many variations on Hansen-Jagannathan bounds, including bounds that reflect the low correlation of consumption growth with asset returns, and bounds that reveal interest rate variation by variation in the conditional mean discount factor. A plea to take macro-finance seriously, aimed both at macro and finance audiences. It’s the only way to tell or even define if prices are “rational”, and what else sets marginal rates of transformation to marginal rates of substitution?