tailieunhanh - An empirical study of the risk-free rate and the expected consumption growth
This paper studies the relationship between the risk-free rate and the expected consumption growth. Using the monthly time series data from , we obtain the following empirical evidences: 1) In the whole period, US supports the positive intertemporal substitution effect and rejects the negative precautionary saving effect. Accordingly, China rejects the positive intertemporal substitution effect and supports the negative precautionary saving effect. 2) In the subsample period , US and China generate the consistent results and both support the CRRA asset pricing model. 3) The estimated time discount factors are and for US and China respectively. 4) US has a relative risk aversion than China both in the whole sample and subsample. | An empirical study of the risk-free rate and the expected consumption growth
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