Publication: Modelos intertemporales de valoración de activos : análisis empírico para el caso español
Loading...
Identifiers
Publication date
1997
Defense date
Authors
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Asociación Española de Economía
Impact
Export
Abstract
El objetivo de este trabajo es analizar el modelo intertemporal básico de valoración de activos con consumo (CCAPM) para el caso español. A semejanza de la evidencia alcanzada para otros países se corrobora el escaso éxito empírico de este modelo. Además, se estudia su comportamiento cuando se relajan los supuestos más restrictivos de la función de utilidad: la separabilidad temporal y la separabilidad entre estados de la naturaleza. Los resultados obtenidos sugieren que las preferencias de un consumidor/ahorrador representativo en la economía española no pueden suponerse separables y que la no separabilidad temporal se debe en mayor grado a la formación de hábitos de consumo que a la durabilidad en los bienes de consumo.--------------------------------------------------------------------
This paper analyzes the Consumption Capital Asset Pricing Model for the Spanish case. In the manner of the evidence found in other countries, the empirical failure of this model is corroborated. The behavior of the CCAPM is also studied when the most restrictive utility function assumptions are relaxed: the time separability and the separability between states of the nature. The results indicate that the preferences of the representative agent, in the Spanish economy, are not separable and also that the time separabitlity is due to habit persistence in aggregate consumption not to durability.
This paper analyzes the Consumption Capital Asset Pricing Model for the Spanish case. In the manner of the evidence found in other countries, the empirical failure of this model is corroborated. The behavior of the CCAPM is also studied when the most restrictive utility function assumptions are relaxed: the time separability and the separability between states of the nature. The results indicate that the preferences of the representative agent, in the Spanish economy, are not separable and also that the time separabitlity is due to habit persistence in aggregate consumption not to durability.
Description
Keywords
CCAPM, Preferencias isoclásticas generalizadas, Persistencia de hábito, Durabilidad, Generalized isoclastic preferences, Habit persistence, Durability
Bibliographic citation
Revista española de economía, vol. 14, n. 2, 1997, pp. 189-213