Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests

Wayne E. Ferson

Journal of Financial and Quantitative Analysis, 1983, vol. 18, issue 4, 477-497

Abstract: Recently, the finance literature has included empirical analysis of consumption in asset pricing models based on the cross-equation restrictions implied by optimality of a representative agent's consumption and investment plan. These studies have required some specification of an aggregate utility function, and power (constant relative risk aversion) utility has been predominant. The present paper extends this body of research by including models with constant absolute, as well as constant relative, risk aversion.

Date: 1983
References: Add references at CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:18:y:1983:i:04:p:477-497_02

Access Statistics for this article

More articles in Journal of Financial and Quantitative Analysis from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().