2006 Fiscal Year Final Research Report Summary
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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| Keywords | CCAPM / risk premium puzzle / relative risk aversion / seasonal adjustment / instrumental variables / Euler equations / commodity-wise risk aversion / currency premium puzzle |
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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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