The Stochastic Implications of Permanent Income Hypothesis for US Speculative Traders: Implications for Consumption-Based Asset Pricing

The Stochastic Implications of Permanent Income Hypothesis for US Speculative Traders: Implications for Consumption-Based Asset Pricing

This paper examines the stochastic implications of permanent income hypothesis for speculative prices from a sample of economic data from 1967 to 2017 in the United States. One of the standard assumptions of the Consumption-Based Capital Asset Pricing Model (CCAPM)—the time separability of utility—i...

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Bibliographic Details
Main Authors: Chamil W. Senarathne, Wei Jianguo
Format: Article
Language:English
Published: The Institute of Economics, Zagreb 2018-01-01
Series:Croatian Economic Survey
Subjects:
disposable income
consumption expenditure
permanent income hypothesis
excess sensitivity
consumption-based asset pricing
Online Access:https://hrcak.srce.hr/file/315293

Internet

https://hrcak.srce.hr/file/315293

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