González Urteaga, AnaRubio Irigoyen, Gonzalo2019-09-062019-09-0620171062-940810.1016/j.najef.2017.03.005https://academica-e.unavarra.es/handle/2454/34756Following 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.38 p.application/pdfeng© 2017 Elsevier Inc. The manuscript version is made available under the CC BY-NC-ND 4.0 license.Elasticity of intertemporal substitutionLeverageConsumptionRecursive preferencesDynamic estimationinfo:eu-repo/semantics/articleinfo:eu-repo/semantics/openAccess