Reinterpreting a Temporally Aggregated Consumption CAP Model
Bibliographic Data
| ID | 19418318 |
|---|---|
| Authors | Luigi Ermini (University of Hawaiʻi at Mānoa, corresponding author) |
| Year | 1991 |
| Volume | 9 |
| Issue | 3 |
| Pages | 325-328 |
| Publication date | 1991-07-01 |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1991.10509858 |
| OpenAlex | W1988601874 |
| Language | EN |
| References cited | 17 |
Recent literature has found that the coefficient of relative risk aversion estimated through consumption-based asset-pricing models is implausibly high, even when the phenomenon of temporal aggregation is taken into account. This article suggests that an IMA (1,1) process be assumed as the generating mechanism of consumption, instead of the standard random-walk process. In this case, if the coefficient of the moving average component is negative, the implied value of the coefficient of relative risk aversion can be reduced to plausible levels. Some empirical and theoretical support for the IMA (1,1) hypothesis is also presented and discussed
Capital asset pricing model · Econometrics · Economics · Expected utility hypothesis · Financial economics · Statistics · Banking stability, regulation, efficiency · Computer Science · Financial Markets and Investment Strategies · Housing Market and Economics · Mathematics
The equity premium
Optimum consumption and portfolio rules in a continuous-time model
Estimating the Continuous-Time Consumption-Based Asset-Pricing Model
Some New Evidence on the Timing of Consumption Decisions and on Their Generating Process
Habit Formation
Permanent and Temporary Components of Stock Prices
| Highly cited | No |
|---|