| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4104 |
| 来源ID | Working Paper 4104 |
| Time Nonseparability in Aggregate Consumption: International Evidence | |
| Phillip A. Braun; George M. Constantinides; Wayne E. Ferson | |
| 发表日期 | 1992-06-01 |
| 出版年 | 1992 |
| 语种 | 英语 |
| 摘要 | We study consumption-based asset pricing models which allow for both habit persistence and durability of consumption goods. using quarterly consumption and asset return data for six countries. We estimate the parameters representing habit persistence or durability. risk version and time preference for each of the countries. We find that time-nonseparable preferences improve the fit of the model. When the nonseparability parameter is statistically significant. its magnitude indicates that the effect of habit persistence dominates the effect of durability in consumption expenditures. However. the international evidence for habit persistence is weaker than it is for the United States. The results indicate that the simple model of time nonseparability does not provide a satisfactory explanation of consumption and asset returns. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w4104 |
| 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/561451 |
| 推荐引用方式 GB/T 7714 | Phillip A. Braun,George M. Constantinides,Wayne E. Ferson. Time Nonseparability in Aggregate Consumption: International Evidence. 1992. |
| 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 | ||
| w4104.pdf（2715KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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