Aggregate Consumption Behaviour with Time-Nonseparable Preferences and Liquidity Constraints

This paper estimates and tests several versions of the consumption-based asset pricing model extended to allow for time-nonseparable preferences and/or liquidity constraint proxies, using Canadian aggregate data. It is found that a habit-persistence effect uncovered in the time-nonseparable preference model is due to the model's misspecification and that liquidity constraints have significant effects on an individual's intertemporal consumption behaviour

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Year of publication:	2013
Authors:	Wirjanto, Tony S.
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Einkommenshypothese \| Income hypothesis \| Konsumtheorie \| Consumption theory \| Schätzung \| Estimation \| Kanada \| Canada \| Verbraucher \| Consumers \| Liquiditätsbeschränkung \| Liquidity constraint \| Konsumentenverhalten \| Consumer behaviour
Description of contents:	Abstract [papers.ssrn.com]