Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures
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.
Volume (Year): 31 (2011)
Issue (Month): 2 ()
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