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

Author

Listed:
  • Atsushi Maki

    (Department of Economics, Tokyo International University)

  • Kenji Wada

    (Faculty of Business and Commerce, Keio University)

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.

Suggested Citation

  • Atsushi Maki & Kenji Wada, 2011. "Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures," Economics Bulletin, AccessEcon, vol. 31(2), pages 1183-1187.
    • Handle: RePEc:ebl:ecbull:eb-11-00007
    as

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    References listed on IDEAS

    as
    1. Ghysels,Eric & Osborn,Denise R., 2001. "The Econometric Analysis of Seasonal Time Series," Cambridge Books, Cambridge University Press, number 9780521565882.
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    More about this item

    Keywords

    C-CAPM; multiple consumption commodities; inter-temporal and intra-temporal choice;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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