Open AccessConsumption-based macroeconomic models of asset pricing theory
Author(s) -
Marija Djordjevic
Publication year - 2016
Publication title -
economic annals/ekonomski anali
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.148
H-Index - 12
eISSN - 1820-7375
pISSN - 0013-3264
DOI - 10.2298/eka1611007d
Subject(s) - capital asset pricing model , economics , stochastic discount factor , econometrics , consumption (sociology) , asset (computer security) , class (philosophy) , substitution (logic) , empirical research , mathematical economics , empirical modelling , microeconomics , mathematics , computer science , statistics , social science , computer security , artificial intelligence , sociology , programming language
The family of consumptionbased asset pricing models yields a stochastic discount factor proportional to the marginal rate of intertemporal substitution of consumption. In examining the empirical performance of this class of models, several puzzles are discovered. In this literature review we present the canonical model, the corresponding empirical tests, and different extensions to this model that propose a resolution of these puzzles