Intertemporally Dependent Preferences and the Volatility of Consumption and Wealth
构建了一个消费者效用依赖于消费历史的模型，在一般均衡框架下解释了消费相对于股市财富波动的粘性，并扩展了梅顿的最优消费与投资组合规则。
In this article we construct a model in which a consumer's utility depends on the consumption history. We describe a general equilibrium framework similar to Cox, Ingersoll, and Ross (1985a). A simple example is then solved in closed form in this general equilibrium setting to rationalize the observed stickiness of the consumption series relative to the fluctuations in stock market wealth. The sample paths of consumption generated from this model imply lower variability in consumption growth rates compared to those generated by models with separable utility functions. We then present partial equilibrium model similar to Merton (1969, 1971) and extend Merton's results on optimal consumption and portfolio rules to accommodate nonseparability in preferences. Asset pricing implications of our framework are briefly explored.