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.
|出版ステータス||Published - 2011 7 5|
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)