Time Nonseparability in Aggregate Consumption: International Evidence

52 Pages Posted: 27 Apr 2000 Last revised: 20 Sep 2010

See all articles by Phillip A. Braun

Phillip A. Braun

Northwestern University - Kellogg School of Management

George M. Constantinides

University of Chicago - Booth School of Business; National Bureau of Economic Research (NBER)

Wayne E. Ferson

University of Southern California; National Bureau of Economic Research (NBER)

Date Written: June 1992

Abstract

We study consumption-based asset pricing models which allow for both habit persistence and durability of consumption goods. using quarterly consumption and asset return data for six countries. We estimate the parameters representing habit persistence or durability. risk version and time preference for each of the countries. We find that time-nonseparable preferences improve the fit of the model. When the nonseparability parameter is statistically significant. its magnitude indicates that the effect of habit persistence dominates the effect of durability in consumption expenditures. However. the international evidence for habit persistence is weaker than it is for the United States. The results indicate that the simple model of time nonseparability does not provide a satisfactory explanation of consumption and asset returns.

Suggested Citation

Braun, Phillip A. and Constantinides, George M. and Ferson, Wayne E., Time Nonseparability in Aggregate Consumption: International Evidence (June 1992). NBER Working Paper No. w4104, Available at SSRN: https://ssrn.com/abstract=226800

Phillip A. Braun (Contact Author)

Northwestern University - Kellogg School of Management ( email )

2001 Sheridan Road
Evanston, IL 60208
United States

George M. Constantinides

University of Chicago - Booth School of Business ( email )

5807 S. Woodlawn Avenue
Chicago, IL 60637
United States
773-702-7258 (Phone)
773-752-0458 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Wayne E. Ferson

University of Southern California ( email )

2250 Alcazar Street
Los Angeles, CA 90089
United States

HOME PAGE: http://www-rcf.usc.edu/~ferson/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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