Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis
研究一个代表性消费者模型对消费和资产收益时间序列行为的可检验约束，该模型使用广义效用函数，能更清晰区分风险厌恶和跨期替代的影响，并嵌套了消费CAPM和静态CAPM。
This paper investigates the testable restriction on the time-series behavior of consumption and asset returns implied by a representative agent model in which intertemporal preferences are represented by utility functions that generalize conventional, time-additive, expected utility. The model based on these preferences allows a clearer separation of observable behavior attributable to risk aversion and to intertemporal substitution. Further, it nests the predictions of both the consumption CAPM and the static CAPM, and it allows direct tests of the expected utility hypothesis. We find that the performance of the non-expected utility model and tests of the expected utility hypothesis are sensitive to the choice of both consumption measure and instrumental variables. Copyright 1991 by University of Chicago Press.