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題名 Essays on Consumption and Asset Pricing Puzzles 作者 王高文
Wang, Gao-Wen貢獻者 毛維凌
Mao, Wei-Lin
王高文
Wang, Gao-Wen關鍵詞 consumption-portfolio choice
elasticity puzzle
excess sensitivity puzzle
equity premium puzzle
risk-free rate puzzle日期 2002 上傳時間 18-Sep-2009 17:21:50 (UTC+8) 摘要 This thesis contributes to the literature on the consumption-portfolio choice under uncertainty and is motivated by several empirical failures of the standard consumption-based capital asset pricing model (CCAPM). This canonical model has proven disappointing empirically and has even been questioned whether it is theoretically valuable and practically useful even if it is in some sense the only model we have. The frustration is due to that the model performs no better in practice and generates some well-known consumption puzzles and asset pricing puzzles. The purpose of the thesis is to reexamine these puzzles and then to resolve them. After the debate of Hansen and Singleton (1983) and Hall (1988), the estimates of the elasticity of intertemporal substitution (EIS) of consumption in a representative agent model have not resulted in any consensus. Based on this observation, the first chapter of this thesis is focused on resolving the elasticity puzzle or the unresponsiveness to interest rates. We propose a new theoretical and empirical perspective on the relationship between consumption growth and asset returns. In the spirit of Hansen and Singleton (1983), we demonstrate that observed growth rate of consumption responds not only to a specific asset return but also to other asset returns. Empirically, US postwar quarterly data are used to fit the regression model derived in the chapter, and the sample period is 1953Q2-2001Q2. Empirical results show that the EIS is greater than 0.1, the maximum value considered possible by Hall (1988). Accordingly, we argue that there is no elasticity puzzle in the standard representative agent model. The second chapter provides an explanation for the puzzle of excess sensitivity of consumption to expected income proposed by Flavin (1981). We exploit consumer`s superior information (i.e., windfalls in investments and in income) to integrate the consumption Euler equations into a generalized Euler equation. The implications emerging from the equation can refute much of the empirical evidence against the permanent income hypothesis (PIH). In short, we conclude that consumption growth is sensitive to windfalls in income, but not to expected income. Thus, Friedman`s prescient insight is being formally corroborated in standard utility theory. The equation also provides an alternative approach permitting one more precisely to estimate the preference parameters and much easier to identify the time-series properties of labor income. Empirical results based on U.S. postwar quarterly data show that the EIS is significantly positive and the labor income should follow a nonstationary second-order autoregressive process. The last chapter of the thesis, chapter three, attempts to address the equity premium puzzle, proposed by Mehra and Prescott (1985), and the risk-free rate puzzle, proposed by Weil (1989). These two asset pricing puzzles have troubled financial economists for nearly two decades. To date, there is still no convincing solution for the equity premium puzzle. The CCAPM is apparently inconsistent with the data, especially the annual data in the 1889-1978 period used by Mehra and Prescott (1985). This has led many economists to question whether the model should be abandoned. The purpose of the chapter is to resolve the two puzzles, and then to consolidate the Lucas-Breeden paradigm embedded in the standard CCAPM. We demonstrate that the equity premium puzzle is resulted from the gaps between the expected asset returns and the actual ones. These gaps have conventionally been regarded as regression disturbances, and explained as good luck or unexpected windfalls. We introduce an alternative way that, using other good luck to explain a given good luck, can help fill in the specific gap. Results of numerical calculations and parametric estimation show that, the gap has been significantly narrowed down and hence the equity premium and risk-free rate puzzles are successfully resolved. 描述 博士
國立政治大學
經濟研究所
87258501
91資料來源 http://thesis.lib.nccu.edu.tw/record/#G0087258501 資料類型 thesis dc.contributor.advisor 毛維凌 zh_TW dc.contributor.advisor Mao, Wei-Lin en_US dc.contributor.author (Authors) 王高文 zh_TW dc.contributor.author (Authors) Wang, Gao-Wen en_US dc.creator (作者) 王高文 zh_TW dc.creator (作者) Wang, Gao-Wen en_US dc.date (日期) 2002 en_US dc.date.accessioned 18-Sep-2009 17:21:50 (UTC+8) - dc.date.available 18-Sep-2009 17:21:50 (UTC+8) - dc.date.issued (上傳時間) 18-Sep-2009 17:21:50 (UTC+8) - dc.identifier (Other Identifiers) G0087258501 en_US dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/36164 - dc.description (描述) 博士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟研究所 zh_TW dc.description (描述) 87258501 zh_TW dc.description (描述) 91 zh_TW dc.description.abstract (摘要) This thesis contributes to the literature on the consumption-portfolio choice under uncertainty and is motivated by several empirical failures of the standard consumption-based capital asset pricing model (CCAPM). This canonical model has proven disappointing empirically and has even been questioned whether it is theoretically valuable and practically useful even if it is in some sense the only model we have. The frustration is due to that the model performs no better in practice and generates some well-known consumption puzzles and asset pricing puzzles. The purpose of the thesis is to reexamine these puzzles and then to resolve them. After the debate of Hansen and Singleton (1983) and Hall (1988), the estimates of the elasticity of intertemporal substitution (EIS) of consumption in a representative agent model have not resulted in any consensus. Based on this observation, the first chapter of this thesis is focused on resolving the elasticity puzzle or the unresponsiveness to interest rates. We propose a new theoretical and empirical perspective on the relationship between consumption growth and asset returns. In the spirit of Hansen and Singleton (1983), we demonstrate that observed growth rate of consumption responds not only to a specific asset return but also to other asset returns. Empirically, US postwar quarterly data are used to fit the regression model derived in the chapter, and the sample period is 1953Q2-2001Q2. Empirical results show that the EIS is greater than 0.1, the maximum value considered possible by Hall (1988). Accordingly, we argue that there is no elasticity puzzle in the standard representative agent model. The second chapter provides an explanation for the puzzle of excess sensitivity of consumption to expected income proposed by Flavin (1981). We exploit consumer`s superior information (i.e., windfalls in investments and in income) to integrate the consumption Euler equations into a generalized Euler equation. The implications emerging from the equation can refute much of the empirical evidence against the permanent income hypothesis (PIH). In short, we conclude that consumption growth is sensitive to windfalls in income, but not to expected income. Thus, Friedman`s prescient insight is being formally corroborated in standard utility theory. The equation also provides an alternative approach permitting one more precisely to estimate the preference parameters and much easier to identify the time-series properties of labor income. Empirical results based on U.S. postwar quarterly data show that the EIS is significantly positive and the labor income should follow a nonstationary second-order autoregressive process. The last chapter of the thesis, chapter three, attempts to address the equity premium puzzle, proposed by Mehra and Prescott (1985), and the risk-free rate puzzle, proposed by Weil (1989). These two asset pricing puzzles have troubled financial economists for nearly two decades. To date, there is still no convincing solution for the equity premium puzzle. The CCAPM is apparently inconsistent with the data, especially the annual data in the 1889-1978 period used by Mehra and Prescott (1985). This has led many economists to question whether the model should be abandoned. The purpose of the chapter is to resolve the two puzzles, and then to consolidate the Lucas-Breeden paradigm embedded in the standard CCAPM. We demonstrate that the equity premium puzzle is resulted from the gaps between the expected asset returns and the actual ones. These gaps have conventionally been regarded as regression disturbances, and explained as good luck or unexpected windfalls. We introduce an alternative way that, using other good luck to explain a given good luck, can help fill in the specific gap. Results of numerical calculations and parametric estimation show that, the gap has been significantly narrowed down and hence the equity premium and risk-free rate puzzles are successfully resolved. en_US dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0087258501 en_US dc.subject (關鍵詞) consumption-portfolio choice en_US dc.subject (關鍵詞) elasticity puzzle en_US dc.subject (關鍵詞) excess sensitivity puzzle en_US dc.subject (關鍵詞) equity premium puzzle en_US dc.subject (關鍵詞) risk-free rate puzzle en_US dc.title (題名) Essays on Consumption and Asset Pricing Puzzles zh_TW dc.type (資料類型) thesis en
