Canadian Consumption and Portfolio Shares

20 Pages Posted: 30 Dec 2002

See all articles by Michel Normandin

Michel Normandin

HEC Montreal - Institute of Applied Economics

Pascal St-Amour

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne); Swiss Finance Institute

Abstract

In this paper we gauge consumption and portfolio shares, rather than the traditional pricing implications. We study both aggregated (financial, tangible, and human) and disaggregated (deposits, stocks, insurance, and pensions) assets. The empirical shares are computed from recent aggregate Canadian data. The theoretical shares are constructed from a flexible specification of both investors' preferences and investment opportunities. Our results reveal that the theoretical shares statistically match observed consumption and aggregated assets, but not disaggregated assets. Also, our findings for corporate stocks are consistent with the empirical asset returns literature. Finally, our findings for other assets highlight several new striking features.

JEL Classification: G11

Suggested Citation

Normandin, Michel and St-Amour, Pascal, Canadian Consumption and Portfolio Shares. Canadian Journal of Economics, Vol. 35, pp. 737-756, 2002. Available at SSRN: https://ssrn.com/abstract=342532

Michel Normandin (Contact Author)

HEC Montreal - Institute of Applied Economics ( email )

3000, ch. de la Côte-Ste-Catherine
Montréal, Quebec H3T 2A7
Canada

Pascal St-Amour

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) ( email )

Unil Dorigny, Batiment Internef
Lausanne, 1015
Switzerland

Swiss Finance Institute

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

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