Autore: Ermini, Luigi
Titolo: A discrete-time consumption-cap model under durability of goods, habit formation and temporal aggregation
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1994 - Fascicolo: 29 - Pagina iniziale: 1 - Pagina finale: 19

This paper addresses the empirical failure of the basic consumption-capital asset pricing (CCAP) model, by relaxing three of its assumptions simultaneously: separability of the utility function; non-durability of goods; no temporal aggregation effects. The paper finds that durability seems to prevail over habit formation, both with and without temporal aggregation effects, though with the available data it is arguably quite difficult to distinguish between the two phenomena. The paper also argues that monthly data reject the continuous-time version of the model.


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Testo completo: http://hdl.handle.net/1814/508

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