On the Relationship between Higher Moments in Consumption Growth Rate at a Household Level and Asset Returns

2021 Fiscal Year Final Research Report

• Project/Area Number: 18K01699
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Review Section: Basic Section 07060:Money and finance-related
• Research Institution: Keio University
• Principal Investigator: WADA Kenji 慶應義塾大学, 商学部(三田), 教授 (30317325)
• Project Period (FY): 2018-04-01 – 2022-03-31
• Keywords: ヘッジできない消費リスク / 家計調査 / 資産価格 / リスクプレミアムパズル / 動的一般均衡モデル

Outline of Final Research Achievements

In this project, I have analyzed the effect of uninsurable consumption risk on asset returns in an intertemporal general equilibrium model. I have conducted empirical analysis by utilizing UK household survey dataset. Unlike Constantinides and Ghosh(2017), this project put an assumption on the consumption level instead of consumption growth rate and derived an analytical formula for asset returns without any approximation. As a result, I was able to construct a model with a relatively few parameters that perfoms better than the model in the above artcile if I judge the model performance by the difference between the number of matched moments and the free parameters. Duirng the one year extension, I did some simulation analysis in order to overcome the limination of this project in the sense it is hard to extend the model in any direction if we want to keeo the analytical solution.

Free Research Field

ファイナンス

Academic Significance and Societal Importance of the Research Achievements

消費の不平等性は様々な社会問題において重要な観点とされ、種々の手法によって分析され、その影響の研究がされている。本研究では家計レベルの消費へのヘッジできないショックと、家計レベルの消費のクロスセクションの分散を結びつけるモデルの構築をおこなった。そしてその分散の時系列の変動が株式や安全資産などの資産収益率に影響を与える事を理論的に示し、実証研究でその程度を示した。消費の不平等性が資産価格にまで影響を与える事を示した点に意義がある。