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Aggregate Consumption Behaviour with Time-Nonseparable Preferences and Liquidity Constraints

Applied Financial Economics, 1997, 7, 107-114

Posted: 31 Mar 2013

See all articles by Tony S. Wirjanto

Tony S. Wirjanto

University of Waterloo - School of Accounting and Finance; University of Waterloo, Department of Statistics & Actuarial Science

Date Written: 1997

Abstract

This paper estimates and tests several versions of the consumption-based asset pricing model extended to allow for time-nonseparable preferences and/or liquidity constraint proxies, using Canadian aggregate data. It is found that a habit-persistence effect uncovered in the time-nonseparable preference model is due to the model's misspecification and that liquidity constraints have significant effects on an individual's intertemporal consumption behaviour.

Keywords: Asset Pricing, Consumption, Liquidity Constraint, Durability, Habit Persistence, Generalized Method of Moments

JEL Classification: C13, C22, C32, C52, D91, G12, E21

Suggested Citation

Wirjanto, Tony S., Aggregate Consumption Behaviour with Time-Nonseparable Preferences and Liquidity Constraints (1997). Applied Financial Economics, 1997, 7, 107-114, Available at SSRN: https://ssrn.com/abstract=2241852

Tony S. Wirjanto (Contact Author)

University of Waterloo - School of Accounting and Finance ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada
519-888-4567 x35210 (Phone)

HOME PAGE: http://https://uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

University of Waterloo, Department of Statistics & Actuarial Science ( email )

200 University Avenue West
Waterloo, Ontario N2L 3G1
Canada
519-888-4567 x35210 (Phone)
519-746-1875 (Fax)

HOME PAGE: http://math.uwaterloo.ca/statistics-and-actuarial-science/people-profiles/tony-wirjanto

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