TY  - JOUR
AU  - Braun,Phillip A.
AU  - Constantinides,George M.
AU  - Ferson,Wayne E.
TI  - Time Nonseparability in Aggregate Consumption:  International Evidence
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4104
PY  - 1992
Y2  - June 1992
UR  - http://www.nber.org/papers/w4104
L1  - http://www.nber.org/papers/w4104.pdf
N1  - Author contact info:
Phillip Braun
University of Chicago
E-Mail: phillip.braun@ChicagoBooth.edu

George M. Constantinides
The University of Chicago
Booth School of Business
5807 South Woodlawn Avenue
Chicago, IL  60637
Tel: 773/702-7258
Fax: 773/753-8045
 (773) 753-8045
E-Mail: gmc@ChicagoBooth.edu

Wayne E. Ferson
Department of Finance
and Business Economics
University of Southern California
3670 Trousdale Parkway Suite 308
Los Angeles, CA 90089-0804
Tel: 213/740-5615
Fax: 213/740-6650
E-Mail: ferson@marshall.usc.edu
AB  - We study consumption-based asset pricing models which allow for both habit persistence and durability of consumption goods. using quarterly consumption and asset return data for six countries. We estimate the parameters representing habit persistence or durability. risk version and time preference for each of the countries. We find that time-nonseparable preferences improve the fit of the model. When the nonseparability parameter is statistically significant. its magnitude indicates that the effect of habit persistence dominates the effect of durability in consumption expenditures. However. the international evidence for habit persistence is weaker than it is for the United States. The results indicate that the simple model of time nonseparability does not provide a satisfactory explanation of consumption and asset returns.
ER  -