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The Measurement Of Change In Consumption

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Author Info
YONG-HO BAEK
Abstract

The problem of measuring the change in consumption is subtle because one observes only total consumption over a certain time interval, not the flow of consumption at each instant. Working with the frequency domain using spectral analysis, we derive the optimum measure of change in consumption. [022]

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Article provided by Korean International Economic Association in its journal International Economic Journal.

Volume (Year): 3 (1989)
Issue (Month): 1 (April)
Pages: 49-54
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Handle: RePEc:taf:intecj:v:3:y:1989:i:1:p:49-54

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  1. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September. [Downloadable!] (restricted)
  2. Mankiw, N Gregory & Shapiro, Matthew D, 1986. "Risk and Return: Consumption Beta versus Market Beta," The Review of Economics and Statistics, MIT Press, vol. 68(3), pages 452-59, August. [Downloadable!] (restricted)
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  3. Jagannathan, Ravi, 1985. " An Investigation of Commodity Futures Prices Using the Consumption-based Intertemporal Capital Asset Pricing Model," Journal of Finance, American Finance Association, vol. 40(1), pages 175-91, March. [Downloadable!] (restricted)
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