Residential College | false |
Status | 已發表Published |
CONSUMER DEMAND, CONSUMPTION, and ASSET PRICING: AN INTEGRATED ANALYSIS with INTERTEMPORAL TWO-STAGE BUDGETING | |
Youn Kim, H.1; McLaren, Keith R.2; Gary Wong, K. K.3 | |
2021-03-01 | |
Source Publication | Macroeconomic Dynamics |
ABS Journal Level | 2 |
ISSN | 1365-1005 |
Volume | 25Issue:2Pages:379-425 |
Abstract | This paper integrates seemingly disjoint studies on consumer behavior in micro and macroanalyses via an intertemporal two-stage budgeting procedure with durable goods and liquidity constraints. The model specifies an indirect utility function as a function of nondurable consumption, commodity (nondurables) prices, and durables stock, and derives the demand functions for nondurable goods. A demand function for durable goods is derived in an adjustment cost framework. The consumption growth equation accounts for relative price effects with precautionary saving, durables stock, and liquidity constraints. The stochastic discount factor is approximated by a time-varying linear function of nondurable consumption growth, commodity price growth, durables stock growth, and disposable income growth. The demand functions for six nondurable goods and services are jointly estimated with the Euler equations for bonds, stocks, and durable goods with allowance for liquidity constraints, using US data. Estimation provides new findings for intertemporal consumption and a multifactor consumption-based capital asset pricing model. |
Keyword | Indirect Utility Function Euler Equations Intertemporal Substitution The Stochastic Discount Factor Consumption-based Capm |
DOI | 10.1017/S1365100519000221 |
URL | View the original |
Indexed By | SSCI |
Language | 英語English |
WOS Research Area | Business & Economics |
WOS Subject | Economics |
WOS ID | WOS:000626121700004 |
Scopus ID | 2-s2.0-85069515474 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | DEPARTMENT OF ECONOMICS |
Corresponding Author | Youn Kim, H. |
Affiliation | 1.Western Kentucky University, United States 2.Monash University 3.The University of Macau, Macao |
Recommended Citation GB/T 7714 | Youn Kim, H.,McLaren, Keith R.,Gary Wong, K. K.. CONSUMER DEMAND, CONSUMPTION, and ASSET PRICING: AN INTEGRATED ANALYSIS with INTERTEMPORAL TWO-STAGE BUDGETING[J]. Macroeconomic Dynamics, 2021, 25(2), 379-425. |
APA | Youn Kim, H.., McLaren, Keith R.., & Gary Wong, K. K. (2021). CONSUMER DEMAND, CONSUMPTION, and ASSET PRICING: AN INTEGRATED ANALYSIS with INTERTEMPORAL TWO-STAGE BUDGETING. Macroeconomic Dynamics, 25(2), 379-425. |
MLA | Youn Kim, H.,et al."CONSUMER DEMAND, CONSUMPTION, and ASSET PRICING: AN INTEGRATED ANALYSIS with INTERTEMPORAL TWO-STAGE BUDGETING".Macroeconomic Dynamics 25.2(2021):379-425. |
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