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

Atsushi Maki, Kenji Wada

Research output: Contribution to journalArticle

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 Jul 5

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

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