Asset Holding and Consumption Volatility
Asset Holding and Consumption Volatility
复制标题
资产持有和消费波动
DOI：
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发表时间：
1998
影响因子：
8.2
通讯作者：
S. Tanner
中科院分区：
文献类型：
--
作者：
O. Attanasio;J. Banks;S. Tanner
我们调查的可能性，有限的参与资产市场，特别是股票市场，可能会解释缺乏对应的样本时刻之间的跨期边际替代率和资产收益率在英国。数据我们估计所有权的概率，以区分“可能”的股东从非股东，使我们能够控制不断变化的成分的影响，以及选择到集团。然后，我们为这些不同的群体中的每一个构建IMRS的估计，并考虑它们的时间序列特性。我们发现，股东的消费增长比非股东的更不稳定，更高度相关的股票超额收益。特别是，人们不能拒绝消费资本资产定价模型对预计拥有两种资产的家庭群体的预测。这与根据所有家庭的数据进行估计时模型的失败形成对比。
We investigate the possibility that limited participation in asset markets, and the stock market in particular, might explain the lack of correspondence between the sample moments of the intertemporal marginal rate of substitution and asset returns in U.K. data. We estimate ownership probabilities to separate “likely” shareholders from nonshareholders, enabling us to control for changing composition effects as well as selection into the group. We then construct estimates of the IMRS for each of these different groups and consider their time‐series properties. We find that the consumption growth of shareholders is more volatile than that of nonshareholders and more highly correlated with excess returns to shares. In particular, one cannot reject the predictions of the consumption capital asset pricing model for the group of households predicted to own both assets. This is in contrast to the failure of the model when estimated on data for all households.