ABOUT BOOK

Following the recent literature on intermediary asset pricing models, this paper argues that the marginal utility of wealth of financial intermediaries can be used to generate enough volatility and counter-cyclicality on the recursive preference-based stochastic discount factor. Hence, a dynamic econometric strategy of an asset pricing model with the market portfolio return and the leverage growth of financial intermediaries allows for a sensible economic estimate of the elasticity of intertemporal substitution. On the contrary, the same framework with alternative measures of consumption produces extremely poor economic results.The authors acknowledge financial support from the Ministry of Economics and Competitiveness through Grant ECO2015-67035-P.In addition, Gonzalo Rubio acknowledges financial support from Generalitat Valenciana Grant PROMETEOII/2013/015 and from the Bank of Spain, and Ana González-Urteaga acknowledges financial support from the Ministry of Economics and Competitiveness through Grant ECO2016-77631-R (AEI/FEDER,UE)