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Atsushi Maki and Kenji Wada
''Estimation of consumption-capital asset pricing model (C-CAPM) with two clusters of consumption expenditures''
( 2011, Vol. 31 No.2 )
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
C1 - Econometric and Statistical Methods: General
Manuscript Received : Jan 04 2011 Manuscript Accepted : Apr 17 2011

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