Time Nonseparability in Aggregate Consumption: International Evidence / Phillip A. Braun, George M. Constantinides, Wayne E. Ferson.

Format:

Book

Author/Creator:

Braun, Phillip A.

Contributor:

National Bureau of Economic Research.

Constantinides, George M.

Ferson, Wayne E.

Series:

Working Paper Series (National Bureau of Economic Research) no. w4104.

NBER working paper series no. w4104

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Time Nonseparability in Aggregate Consumption

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1992.

Summary:

We study consumption-based asset pricing models which allow for both habit persistence and durability of consumption goods. using quarterly consumption and asset return data for six countries. We estimate the parameters representing habit persistence or durability. risk version and time preference for each of the countries. We find that time-nonseparable preferences improve the fit of the model. When the nonseparability parameter is statistically significant. its magnitude indicates that the effect of habit persistence dominates the effect of durability in consumption expenditures. However. the international evidence for habit persistence is weaker than it is for the United States. The results indicate that the simple model of time nonseparability does not provide a satisfactory explanation of consumption and asset returns.

Notes:

Print version record

June 1992.