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Aggregate consumption behaviour with time-nonseparable preferences and liquidity constraints

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  • Tony Wirjanto

Abstract

This paper estimates and tests several versions of the consumption-based asset pricing model extended to allow for time-nonseparable preferences and/or liquidity constraint proxies, using Canadian aggregate data. It is found that a habit-persistence effect uncovered in the time-nonseparable preference model is due to the model's misspecification and that liquidity constraints have significant effects on an individual's intertemporal consumption behaviour.

Suggested Citation

  • Tony Wirjanto, 1997. "Aggregate consumption behaviour with time-nonseparable preferences and liquidity constraints," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 107-114.
    • Handle: RePEc:taf:apfiec:v:7:y:1997:i:1:p:107-114
    DOI: 10.1080/096031097333899
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    References listed on IDEAS

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    1. Zeldes, Stephen P, 1989. "Consumption and Liquidity Constraints: An Empirical Investigation," Journal of Political Economy, University of Chicago Press, vol. 97(2), pages 305-346, April.
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    Cited by:

    1. Wessel Marquering, 2006. "Do consumption-based asset pricing models explain return predictability?," Applied Financial Economics, Taylor & Francis Journals, vol. 16(14), pages 1019-1027.
    2. Brunila, Anne, 1997. "Current income and private consumption: Saving decisions: Testing the finite horizon model," Bank of Finland Research Discussion Papers 6/1997, Bank of Finland.
    3. Brunila, Anne, 1997. "Current income and private consumption : Saving decisions : Testing the finite horizon model," Research Discussion Papers 6/1997, Bank of Finland.
    4. Raymund Abara, 2006. "Estimation and evaluation of asset pricing models with habit formation using Philippine data," Applied Economics Letters, Taylor & Francis Journals, vol. 13(8), pages 493-497.
    5. repec:zbw:bofrdp:1997_006 is not listed on IDEAS

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