Theoretical and Empirical Investigation into the Consumption Capital Asset Pricing Model

点击翻译按钮获取中文摘要

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.