Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures

In this paper, we develop a new model that explicitly considers two endogenous consumption items and investigates its applicability to consumption-capital asset pricing model (C-CAPM) by testing it with various sets of instruments. We found that our model is not rejected with reasonable values for both risk aversion and time preference parameters.

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Year of publication:	2011
Authors:	Maki, Atsushi ; Wada, Kenji
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 31.2011, 2, p. 1183-1187
Publisher:	AccessEcon
Subject:	C-CAPM \| multiple consumption commodities \| inter-temporal and intra-temporal choice

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	G1 - General Financial Markets ; C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009643080