Reinterpreting a Temporally Aggregated Consumption CAP Model
提出用IMA(1,1)过程替代随机游走假设来刻画消费，发现若移动平均系数为负，相对风险厌恶系数可降至合理水平，并提供了实证与理论支持。
Recent literature has found that the coefficient of relative risk aversion estimated through consumption-based asset-pricing models is implausibly high, even when the phenomenon of temporal aggregation is taken into account. This article suggests that an IMA (1,1) process be assumed as the generating mechanism of consumption, instead of the standard random-walk process. In this case, if the coefficient of the moving average component is negative, the implied value of the coefficient of relative risk aversion can be reduced to plausible levels. Some empirical and theoretical support for the IMA (1,1) hypothesis is also presented and discussed.