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AA10715850-00001104-0001.pdf
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Download
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:792.2 KB
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:Dec 2, 2011 |
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Total downloads since Dec 2, 2011 : 2117
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| Title |
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CCAPM with time-varying parameters : some evidence from Japan
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伊藤, 幹夫
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イトウ, ミキオ
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Ito, Mikio
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野田, 顕彦
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ノダ, アキヒコ
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Noda, Akihiiko
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Keio Economic Society, Keio University
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2011
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Keio Economic Society discussion paper series
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11
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4
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2011
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We test the parameter constancy of the standard consumption based asset pricing model (CCAPM) by using the method of Hansen (1990) for the generalized empirical likelihood (GEL) estimates for the Japanese financial data; we estimate the timevarying parameters considering our non-linear state space model as a simultaneous equation system and using the method developed by Ito (2007) and the GEL estimators. The emprical results exhibit that both the parameters estimated of the CCAPM, the degree of risk aversion and the time discount rate, vary with time.
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