Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis

H. Youn Kim (), Keith McLaren and K.K. Gary Wong ()

No 4/14, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: This paper integrates seemingly disjoint studies on consumer behavior in micro and macro analyses via the intertemporal two-stage budgeting procedure with durable goods and liquidity constraints. The model accounts for the influences of nondurables consumption, commodity prices, and durables stock on commodity demands as well as on risk aversion and asset returns. The demand functions for six nondurable goods are jointly estimated with the Euler equations for bonds, shares, and durables goods, with allowance for liquidity constraints. The integrated model proves useful with new findings for risk aversion and, particularly, an extended consumption CAPM with multiple goods and liquidity constraints.

Keywords: Intertemporal two-stage budgeting; Indirect utility function; Risk aversion; The stochastic discount factor; Consumption-based CAPM (search for similar items in EconPapers)
JEL-codes: D12 E21 G12 (search for similar items in EconPapers)
Pages: 48
Date: 2014
New Economics Papers: this item is included in nep-upt
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