Theoretical and Empirical Investigation into the Consumption Capital Asset Pricing Model

关于消费型CAPM的理论和实证研究，我们撰写了4篇论文，其中2篇已经发表。第一篇是久保田等人（2006），同时考虑了有限参与模型和持续性收入冲击模型，并利用日本家庭层面的数据实证证明了有限参与模型可以解释日本的风险溢价之谜。第二篇是巴苏和和田（2006），将持续性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（2007 a）表明，采用CRRA型效用函数的标准CCAPM模型可以通过使用大量工具变量来解释日本的风险溢价之谜。第四篇论文Maki和Wada（2007 b）将标准的单一商品模型扩展为两种商品模型，并通过实证证明了该模型可以利用大量工具变量来解释日本的风险溢价之谜。

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.