Author : Tony S. Wirjanto
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Book Synopsis Exploring Consumption-Based Asset Pricing Model with Stochastic-Trend Forcing Processes by : Tony S. Wirjanto
Download or read book Exploring Consumption-Based Asset Pricing Model with Stochastic-Trend Forcing Processes written by Tony S. Wirjanto and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using Canadian data, the consumption-based asset pricing model is studied, defined in terms of nondurable and durable goods consumption. A two-stage estimation procedure is used, which takes account of the presence of common stochastic trends in the forcing processes. This method yields more reasonable estimates of the preference parameters than the previous studies did, and the asset-pricing equation is not rejected by the data. Moreover, the preference specification adopted in this paper allows a number of useful economic information to be obtained. The additive separability assumption and the Cobb-Douglas functional form of the utility function are ruled complements in the sense of Edgeworth and Pareto.