The determination of stochastic consumption and investment opportunities by intertemporal asset pricing models: some Australian evidence

Patel, Aseet Anilkumar. (1985). The determination of stochastic consumption and investment opportunities by intertemporal asset pricing models: some Australian evidence Master's Thesis, School of Economics, The University of Queensland.

       
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Author Patel, Aseet Anilkumar.
Thesis Title The determination of stochastic consumption and investment opportunities by intertemporal asset pricing models: some Australian evidence
School, Centre or Institute School of Economics
Institution The University of Queensland
Publication date 1985
Thesis type Master's Thesis
Supervisor Dr. Sam Strong
Total pages 73
Language eng
Subjects 14 Economics
Formatted abstract

This thesis examines the role of an intertemporal asset pricing model in determining stochastic consumption and investment behaviour. The procedure is to use the implied Euler equations of the dynamic optimization problem to obtain parameter estimates, through nonlinear instrumental variable estimation. An attractive feature of this method of estimation is that the parameters of the dynamic objective functions of economic agents can be estimated without explicitly solving for the stochastic equilibrium. The asset pricing model tested in this thesis is on Australian data for 1960 to 1974, and for aggregate personal consumption expenditure as well as for non-durable personal consumption expenditure. The evidence is largely consistent with the hypothesis that such stock price models are useful in determining consumption (and investment) behaviour. 

Keyword Asset pricing
Investment

Document type: Thesis
Collection: UQ Theses (non-RHD) - UQ staff and students only
 
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Created: Fri, 17 Dec 2010, 16:20:37 EST by Ning Jing on behalf of Social Sciences and Humanities Library Service