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

Atsushi Maki; Kenji Wada

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

Faculty of Business and Commerce

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	1183-1187
Number of pages	5
Journal	Economics Bulletin
Volume	31
Issue number	2
Publication status	Published - 2011 Jul 5

ASJC Scopus subject areas

Economics, Econometrics and Finance(all)

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

Abstract

ASJC Scopus subject areas

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