Journal of Political Economy Vol. 91 No. 2 1983
Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns
Abstract
This paper studies the time-series behavior of asset returns and aggregate consumption. Using a representative consumer model and imposing restrictions on preferences and the joint distribution of consumption and returns, we deduce a restricted log-linear time-series representation. Preference parameters for the representative agent are estimated and the implied restrictions are tested using postwar data.
- DOI
- 10.1086/261141
- Volume
- 91
- Issue
- 2
- Pages
- 249-265
- Language
- en
- Sources
- openalex crossref