Aggregate consumption behaviour with time-nonseparable preferences and liquidity constraints

Tony Wirjanto ()

Applied Financial Economics, 1997, vol. 7, issue 1, 107-114

Abstract: This paper estimates and tests several versions of the consumption-based asset pricing model extended to allow for time-nonseparable preferences and/or liquidity constraint proxies, using Canadian aggregate data. It is found that a habit-persistence effect uncovered in the time-nonseparable preference model is due to the model's misspecification and that liquidity constraints have significant effects on an individual's intertemporal consumption behaviour.

Date: 1997
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DOI: 10.1080/096031097333899

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