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

Atsushi Maki, Kenji Wada

Research output: Contribution to journal › Article

Abstract

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.

Original languageEnglish
Pages (from-to)1183-1187
Number of pages5
JournalEconomics Bulletin
Volume31
Issue number2
Publication statusPublished - 2011

Fingerprint

Capital asset pricing model
Expenditure
Time preference
Risk aversion
Testing

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

Cite this

Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures. / Maki, Atsushi; Wada, Kenji.

In: Economics Bulletin, Vol. 31, No. 2, 2011, p. 1183-1187.

Research output: Contribution to journal › Article

Maki, A & Wada, K 2011, 'Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures', Economics Bulletin, vol. 31, no. 2, pp. 1183-1187.
Maki A, Wada K. Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures. Economics Bulletin. 2011;31(2):1183-1187.
Maki, Atsushi ; Wada, Kenji. / Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures. In: Economics Bulletin. 2011 ; Vol. 31, No. 2. pp. 1183-1187.
@article{65bb935d177948adb51cddce8fbd4d79,
title = "Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures",
abstract = "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.",
author = "Atsushi Maki and Kenji Wada",
year = "2011",
language = "English",
volume = "31",
pages = "1183--1187",
journal = "Economics Bulletin",
issn = "1545-2921",
publisher = "Economics Bulletin",
number = "2",

}

TY - JOUR

T1 - Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures

AU - Maki, Atsushi

AU - Wada, Kenji

PY - 2011

Y1 - 2011

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=79959789727&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=79959789727&partnerID=8YFLogxK

M3 - Article

VL - 31

SP - 1183

EP - 1187

JO - Economics Bulletin

JF - Economics Bulletin

SN - 1545-2921

IS - 2

ER -

Access to Document