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Expectations of Real Interest Rates and Aggregate Consumption: Empirical Tests

Published online by Cambridge University Press:  01 December 2009

Wayne E. Ferson
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Extract

Recently, the finance literature has included empirical analysis of consumption in asset pricing models based on the cross-equation restrictions implied by optimality of a representative agent's consumption and investment plan. These studies have required some specification of an aggregate utility function, and power (constant relative risk aversion) utility has been predominant. The present paper extends this body of research by including models with constant absolute, as well as constant relative, risk aversion.

Type
Selected Papers from the 1983 Annual Conference
Information
Journal of Financial and Quantitative Analysis , Volume 18 , Issue 4 , December 1983 , pp. 477 - 497
Copyright
Copyright © School of Business Administration, University of Washington 1983

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