Theoretical and Empirical Investigation into the Consumption Capital Asset Pricing Model
| Project/Area Number |
15330063
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| Research Category |
Grant-in-Aid for Scientific Research (B)
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| Allocation Type | Single-year Grants |
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| Section | 一般 |
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| Research Field |
Public finance/Monetary economics
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| Research Institution | KEIO UNIVERSITY |
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Principal Investigator |
MAKI Atsushi Keio University, Commerce, Professor, 商学部, 教授 (20051906)
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| Co-Investigator(Kenkyū-buntansha) |
WADA Kenji Keio University, Business, Professor, 経営管理研究科, 教授 (30317325)
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| Project Period (FY) |
2003 – 2006
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| Project Status |
Completed (Fiscal Year 2006)
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| Budget Amount *help |
¥8,100,000 (Direct Cost: ¥8,100,000)
Fiscal Year 2006: ¥1,900,000 (Direct Cost: ¥1,900,000)
Fiscal Year 2005: ¥1,600,000 (Direct Cost: ¥1,600,000)
Fiscal Year 2004: ¥1,100,000 (Direct Cost: ¥1,100,000)
Fiscal Year 2003: ¥3,500,000 (Direct Cost: ¥3,500,000)
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| Keywords | CCAPM / risk premium puzzle / relative risk aversion / seasonal adjustment / instrumental variables / Euler equations / commodity-wise risk aversion / currency premium puzzle / C-CAPM / 家計消費データ / 消費・資産価格モデル / GMM / 時間選好率 / 危険回避度 / モデル検定 / 消費に基づく資産価格モデル / ハンセン・シングルトンのGMM / メラ・プレスコットのカリブレーション手法 / ハンセン・ジャガナサン境界 / 確率的割引率 / X12-ARIMA / 家計調査 / 国民経済計算 / CEX / NIPA / マイクロデータ / 集計データ |
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| Research Abstract |
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.
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Report
(5 results)
Research Products
(4 results)
