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Macro\u2010finance decoupling is an effective way to improve the power of the specification test when asset pricing theories are difficult to refute because of a severe imbalance in the information content about the key model parameters between macroeconomic moment restrictions and asset pricing cross\u2010equation restrictions. We apply the proposed conditional specification test to the evaluation of a time\u2010varying rare\u2010disaster risk model and the construction of robust model uncertainty sets.<\/jats:p>","DOI":"10.3982\/ecta18506","type":"journal-article","created":{"date-parts":[[2022,3,17]],"date-time":"2022-03-17T02:12:45Z","timestamp":1647483165000},"page":"685-713","source":"Crossref","is-referenced-by-count":24,"title":["Macro\u2010Finance Decoupling: Robust Evaluations of Macro Asset Pricing Models"],"prefix":"10.3982","volume":"90","author":[{"given":"Xu","family":"Cheng","sequence":"first","affiliation":[{"name":"Department of Economics, University of Pennsylvania"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Winston Wei","family":"Dou","sequence":"additional","affiliation":[{"name":"Finance Department, The Wharton School, University of Pennsylvania"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Zhipeng","family":"Liao","sequence":"additional","affiliation":[{"name":"Department of Economics, University of California, Los Angeles"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"2359","published-online":{"date-parts":[[2022]]},"reference":[{"issue":"1","key":"ecta200389-bib-0001","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/S0304-3932(98)00039-7","volume":"43","author":"Abel","year":"1999","journal-title":"Journal of Monetary Economics"},{"key":"ecta200389-bib-0002","unstructured":"Anatolyev, S., and A. 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