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