Aggregate consumption behaviour with time-nonseparable preferences and liquidity constraints
This paper estimates and tests several versions of the consumption-based asset pricing model extended to allow for time-nonseparable preferences and/or liquidity constraint proxies, using Canadian aggregate data. It is found that a habit-persistence effect uncovered in the time-nonseparable preference model is due to the model's misspecification and that liquidity constraints have significant effects on an individual's intertemporal consumption behaviour.
Year of publication: |
1997
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Authors: | Wirjanto, Tony |
Published in: |
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 7.1997, 1, p. 107-114
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Publisher: |
Taylor & Francis Journals |
Saved in:
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