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Theoretical and Empirical Investigation into the Consumption Capital Asset Pricing Model

消费资本资产定价模型的理论与实证研究

基本信息

批准号：
15330063
负责人：
MAKI Atsushi
金额：
$ 5.18万
依托单位：
KEIO UNIVERSITY
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (B)
财政年份：
2003
资助国家：
日本
起止时间：
2003 至 2006
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-15330063/
关键词：
CCAPM risk premium puzzle relative risk aversion seasonal adjustment instrumental variables Euler equations commodity-wise risk aversion currency premium puzzle C-CAPM 家計消費データ消費・資産価格モデル GMM 時間選好率危険回避度モデル検定消費に基づく資産価格モデル

项目摘要

We wrote four papers on the theoretical and empirical investigation into the consumption CAPM and already published two of them.The first paper, Kubota et al. (2006), considered both limited participation model and persistent income shock model and empirically showed that the limited participation model can explain the risk premium puzzle in Japan using Japanese household level data.The second paper, Basu and Wada (2006), extended the persistent income shock model into a two-country model and showed that this model can explain both the risk premium puzzle and currency premium puzzle in the U.S.The third paper, Maki and Wada (2007a), showed that the standard CCAPM model with a CRRA type utility function can explain the risk premium puzzle in Japan by utilizing a large set of instrumental variables.The fourth paper, Maki and Wada (2007b), extended the standard single commodity model into a two commodity model and empirically showed that this model can explain the risk premium puzzle in Japan by utilizing a large set of instrumental variables.

我们撰写了四篇关于消费CAPM理论和实证研究的论文，其中两篇已经发表。第一篇论文Kubota et al.（2006）同时考虑了有限参与模型和持续收入冲击模型，并利用日本家庭层面的数据实证表明，有限参与模型可以解释日本的风险溢价之谜。第二篇论文Basu and Wada（2006）将持续收入冲击模型扩展为两国模型，并表明该模型可以解释美国的风险溢价之谜和货币溢价之谜。第三篇论文Maki and Wada （2007a）表明，标准CCAPM模型具有CRRA型效用函数，可以利用大量工具变量解释日本的风险溢价之谜。第四篇论文Maki and Wada （2007b）将标准的单一商品模型扩展为两种商品模型，并通过使用大量工具变量，实证表明该模型可以解释日本的风险溢价之谜。