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Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures

Atsushi Maki () and Kenji Wada
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Atsushi Maki: Department of Economics, Tokyo International University

Economics Bulletin, 2011, vol. 31, issue 2, 1183-1187

Abstract: 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.

Keywords: C-CAPM; multiple consumption commodities; inter-temporal and intra-temporal choice (search for similar items in EconPapers)
JEL-codes: C1 G1 (search for similar items in EconPapers)
Date: 2011-04-17
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