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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Cite this
Maki, A., & Wada, K. (2011). Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures. Economics Bulletin, 31(2), 1183-1187.