| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w1643 |
| 来源ID | Working Paper 1643 |
| Estimating the Continuous Time Consumption Based Asset Pricing Model | |
| Sanford J. Grossman; Angelo Melino; Robert J. Shiller | |
| 发表日期 | 1985-06-01 |
| 出版年 | 1985 |
| 语种 | 英语 |
| 摘要 | The consumption based asset pricing model predicts that excess yields are determined in a fairly simple way by the market's degree of relative risk aversion and by the pattern of covariances between percapita consumption growth and asset returns. Estimation and testingis complicated by the fact that the model's predictions relate to the instantaneous flow of consumption and point-in-time asset values, but only data on the integral or unit average of the consumption flow is available. In our paper, we show how to estimate the parameters of interest consistently from the available data by maximum likelihood. We estimate the market's degree of relative risk aversion and the instantaneous covariances of asset yields and consumption using six different data sets. We also test the model's overidentifying restrictions. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w1643 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558886 |
| 推荐引用方式 GB/T 7714 | Sanford J. Grossman,Angelo Melino,Robert J. Shiller. Estimating the Continuous Time Consumption Based Asset Pricing Model. 1985. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w1643.pdf（474KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
