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Title: |
Seasonality and Habit Persistence in a Time-Nonseparable
Consumption-Based Asset Pricing Model |
| Author: |
Nam, Joo-Ha |
| Author
Affiliation: |
Korea Econ
Research Institute |
| Source: |
International Economic Journal, Autumn 1994, v. 8, no. 3, pp. 57-69 |
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Publication Date: |
Autumn 1994 |
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Abstract: |
Previous researches report that the
time-additive asset pricing model does not help explain seasonality in
consumption. Since goods may have time-nonseparable properties to some
degree, the time-nonseparable model would be more appropriate to
investigate the seasonal fluctuation in consumption. Considering habit
formation and durability of goods in modeling time-nonseparable models,
the paper empirically finds that seasonality in consumption provides a
better fit with significant seasonal parameters. All seasonal dummies in
the time-nonseparable model have more apparent seasonal effects on
consumption adjustment than those in the time-additive model. In
particular, the time-nonseparable model can capture seasonal fluctuation
through habit persistence rather than durability of goods. |
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