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Consumption Habit and Equity Premium in the G7 Countries

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  • Olivier Allais
  • Loic Cadiou
  • Stéphane Dees

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Paper provided by CEPII research center in its series Working Papers with number 2000-19.

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Date of creation: Dec 2000
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Handle: RePEc:cii:cepidt:2000-19
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Keywords: Behaviour of economic agents; MARMOTTE; Consumption; Factor markets; Economic policy; Models; Econometrics;

Find related papers by JEL classification:

  • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
  • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
  • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
  • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
  • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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  1. Cecchetti, Stephen G & Lam, Pok-sang & Mark, Nelson C, 1994. " Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns," Journal of Finance, American Finance Association, vol. 49(1), pages 123-52, March.
  2. Andrew B. Abel, . "Asset Prices Under Habit Formation and Catching Up With the Jones," Rodney L. White Center for Financial Research Working Papers 01-90, Wharton School Rodney L. White Center for Financial Research.
  3. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, June.
  4. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
  5. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
  6. G. Constantinides, 1990. "Habit formation: a resolution of the equity premium puzzle," Levine's Working Paper Archive 1397, David K. Levine.
  7. Weil, Philippe, 1989. "The equity premium puzzle and the risk-free rate puzzle," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 401-421, November.
  8. Braun, Phillip A. & Constantinides, George M. & Ferson, Wayne E., 1993. "Time nonseparability in aggregate consumption : International evidence," European Economic Review, Elsevier, vol. 37(5), pages 897-920, June.
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Cited by:

  1. Douch, Mohamed, 2004. "Equity Premiums In a Small Open Economy," MPRA Paper 876, University Library of Munich, Germany.
  2. Ryan Banerjee & Nicoletta Batini, 2003. "UK Consumers’ Habits," Discussion Papers 13, Monetary Policy Committee Unit, Bank of England.
  3. Olivier Allais & Loic Cadiou & Stéphane Dees, 2001. "Defining Consumption Behaviour in a Multi-Country Model," Working Papers 2001-02, CEPII research center.
  4. Loïc Cadiou & Julien Genet & Jean-Louis Guérin, 2002. "Evolutions démographiques et marché du travail : des liens complexes parfois contradictoires," Working Papers 2002-16, CEPII research center.
  5. Stuart Hyde & Mohamed Sherif, 2005. "Don't break the habit: structural stability tests of consumption asset pricing models in the UK," Applied Economics Letters, Taylor & Francis Journals, vol. 12(5), pages 289-296.

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