Using the generalized method of moments, we estimate structural parame ters related to relative-risk aversion, the discount rate of future utility, and the intertemporal elasticity of substitution in consumption for the Brazilian economy. Estimates are provided for three types of utility fun ction based on the consump tion capital asset pricing model: constant relative risk aversion utility, utility with external habit, and Kreps-Porteus utility. These results are analyzed and then compared to previous results using Brazilian and U.S. data. Moreover, we per form over-identifying restrictions tests of all estimated models to investigate the possible existence of the equity premium puzzle in Brazil. The overall results show that Brazilian consumers have a relatively high discount rate, a low intertemporal elasticity of substitution, and a high relative risk aversion coefficient. Also, there is no evidence of the existence of the equity premium puzzle in Brazil. .. This article is a revised version of Natalia S. Piqueira's Masters Thesis, done under the supervision of Joao Victor Issier. We thank Marco Antonio Bonomo, Rene Garcia, Ajax Moreira, an anonymous referee and Carlos Martins Filho (Editor) for their suggestions on an earlier version of this article. All the remaining errors are ours. We also thank CNPq and PRONEX for their financial support.

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