Macroeconomic Dynamics is proud to announce the recipient of the second Frank Ramsey Prize in Macroeconomic Dynamics for the best article published in Macroeconomic Dynamics during the four-year period 2001 – 2004 (inclusive). The prize is named in honor of Frank P. Ramsey (1903-1930). Keynes regarded Ramsey’s (1928) classic "A Mathematical Theory of Savings" to be "one of the most remarkable contributions to mathematical economics ever made."

The selection of the winning article was made by a subcommittee of the Coeditors and Board of Advisory Editors of the Journal. All articles published in Macroeconomic Dynamics during the four year period were considered, except for those authored or coauthored by the Editor and members of the Board of Advisory Editors.  This intentionally scarce and highly selective prize is awarded only once every four years.

The Editor, William Barnett, served as Secretary to the Ramsey Prize Selection Committee, which consisted of:

Jean-Pascal Bénassy, CEPREMAP, Paris
Michele Boldrin, University of Minnesota
Francis Diebold, University of Pennsylvania
Douglas Gale, New York University
Gregory Hess, Claremont McKenna College
Adrian Pagan, Australian National University
Michael Woodford, Princeton University

The abstract that was published with this important paper is reprinted below:

We use a log-normal framework to examine the effect of preferences on the market price for risk, that is, the Sharpe ratio. In our framework, the Sharpe ratio can be calculated directly from the elasticity of the stochastic discount factor with respect to consumption innovations as well as the volatility of consumption innovations. This can be understood as an analytical shortcut to the calculation of the Hansen–Jagannathan volatility bounds, and therefore provides a convenient tool for theorists searching for models capable of explaining asset-pricing facts. To illustrate the usefulness of our approach, we examine several popular preference specifications, such as CRRA, various types of habit formation, and the recursive preferences of Epstein–Zin–Weil. Furthermore, we show how the models with idiosyncratic consumption shocks can be studied.

Frank Ramsey’s daughter, Mrs. Jane Burch, and Cambridge University Press join Macroeconomic Dynamics in congratulating Martin Lettau and Harald Uhlig on this recognition of their excellent work.
 

                   William A. Barnett, Editor
                   November 7, 2005