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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 PublicationMacroeconomic Dynamics
ABS Journal Level2
ISSN1365-1005
Volume25Issue: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.

KeywordIndirect Utility Function Euler Equations Intertemporal Substitution The Stochastic Discount Factor Consumption-based Capm
DOI10.1017/S1365100519000221
URLView the original
Indexed BySSCI
Language英語English
WOS Research AreaBusiness & Economics
WOS SubjectEconomics
WOS IDWOS:000626121700004
Scopus ID2-s2.0-85069515474
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Citation statistics
Document TypeJournal article
CollectionDEPARTMENT OF ECONOMICS
Corresponding AuthorYoun Kim, H.
Affiliation1.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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