Consumption-Based Asset Pricing: Durable Goods, Adjustment Costs, and Aggregation
نویسندگان
چکیده
منابع مشابه
Consumption-Based Asset Pricing: Durable Goods, Adjustment Costs, and Aggregation
In this paper, we investigate the implications of non-separable preferences over durable and nondurable consumption for asset pricing tests when adjusting durable consumption is costly. In an economy without adjustment costs, in which a frictionless rental market exists for the durable good, the standard Euler equation with respect to nondurable consumption will hold for each individual agent a...
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We study consumption of durable and nondurable goods when the durable good is subject to transaction costs. In the model, agents derive utility from a service flow of a durable good and a consumption flow of a nondurable good. The key feature of the model is the existence of a fixed transaction cost in the durable good market. The fixed cost induces an inaction region in the purchase of the dur...
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In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...
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We extend and unify existing international asset pricing models for perfect capital markets by allowing both exchange rates and inflation rates to be stochastic and investors to consume both tradable and nontradable goods. We show that country-specific demand for risky assets arises from two sources: PPP-deviationrate differential risks and nontradable-good-specific inflation-rate-differential ...
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This paper provides a contribution to the recent growing literature on rational inattention. We start by testing the implications of recent rational inattention models of asset management, liquidity holdings and savings using two novel datasets. Some predictions of these models are at odds with the data, which motivates us to introduce a new model that shifts the focus from non-durable to durab...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.545882