478
Views
0
CrossRef citations to date
0
Altmetric
Econometrics

Constant relative risk aversion utility and consumption CAPM: discount factors and risk aversions for Norway, Sweden, and the UK

Article: 2299609 | Received 25 Jan 2023, Accepted 13 Dec 2023, Published online: 11 Jan 2024

Figures & data

Figure 1. CCAPM data: Index log returns (top) and consumption growth (bottom) for Norway, Sweden, and the UK, 1980-2022(q2).

Figure 1. CCAPM data: Index log returns (top) and consumption growth (bottom) for Norway, Sweden, and the UK, 1980-2022(q2).

Table 1. All Share Indices and Household Consumptions Characteristics for Norway, Sweden, and the UK, 1980-2022(q2).

Table 3. CRRA Utility Model Parameters for Norway, Sweden, and the UK, 1980–2022(q2).

Figure 2. Trace plots (50k) of Norwegian (top), Swedish (middle) and UK (bottom) CRRA log posterior paths. (a) Norway traces and parameter densities. (b) Sweden traces and parameter densities. (c) The UK traces and parameter densities.

Figure 2. Trace plots (50k) of Norwegian (top), Swedish (middle) and UK (bottom) CRRA log posterior paths. (a) Norway traces and parameter densities. (b) Sweden traces and parameter densities. (c) The UK traces and parameter densities.

Figure 4. Stochastic discount factor for a CRRA utility model Norway, Sweden, and the UK, 1980-2022(q2).

Figure 4. Stochastic discount factor for a CRRA utility model Norway, Sweden, and the UK, 1980-2022(q2).

Table 2. Gamma and certainty equivalent for the CRRA utility function.

Table 4. The mode, parameters for beta (β) and gamma (γ) and the normalization constant. Comparison Norway, Sweden, and the UK.

Figure 5. NPB Simulation of 166 and 100k Index Returns and Consumption Growth. (a) Simulation 166 Index Returns and Consumption Growth observations from NPB model. (b) Simulation 100k Index Returns and Consumption Growth observations from NPB model.

Figure 5. NPB Simulation of 166 and 100k Index Returns and Consumption Growth. (a) Simulation 166 Index Returns and Consumption Growth observations from NPB model. (b) Simulation 100k Index Returns and Consumption Growth observations from NPB model.

Figure 6. Simulation 100k OSEAX returns and Consumption Movements Distributions.

Figure 6. Simulation 100k OSEAX returns and Consumption Movements Distributions.

Figure 7. Conditional Mean applying the original data-points.

Figure 7. Conditional Mean applying the original data-points.

Figure 8. Conditional Volatility using original data-points.

Figure 8. Conditional Volatility using original data-points.

Figure 9. Conditional Covariance/Correlation using original data-points. (a) Norway’s CRRA Mean One-Step-Ahead Density 1980-2022(q2). (b) Sweden’s CRRA Mean One-Step-Ahead Density 1980-2022(q2). (c) UK’s CRRA Mean One-Step-Ahead Density 1980-2022(q2).

Figure 9. Conditional Covariance/Correlation using original data-points. (a) Norway’s CRRA Mean One-Step-Ahead Density 1980-2022(q2). (b) Sweden’s CRRA Mean One-Step-Ahead Density 1980-2022(q2). (c) UK’s CRRA Mean One-Step-Ahead Density 1980-2022(q2).

Figure 10. One-Step Ahead Mean Surface Densities NPB estimations 1980-2022(Q2) for Norway, Sweden, and UK.

Figure 10. One-Step Ahead Mean Surface Densities NPB estimations 1980-2022(Q2) for Norway, Sweden, and UK.