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제 목 2016년  제30권 제2호 Garbage as an Alternative Measure of Consumption: Evidence from
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Garbage as an Alternative Measure of Consumption: Evidence from Korea

Jaehoon Hahn․Meesun Deborah Park

Abstract

We find that using garbage as an alternative measure of consumption allows the standard consumption-
based asset pricing model to match the observed equity premium with a more reasonable
relative risk aversion coefficient than using standard consumption expenditure in Korea. Structural
GMM estimation of the risk aversion parameter shows that when garbage is used, the risk aversion
estimate ranges from 4.44 to 6.92, and the implied risk-free rate ranges from 3% to 8%. In contrast,
when standard consumption expenditure is used, the estimated risk aversion ranges from 12.89
to 18.34, and the implied risk-free rate ranges from 61% to 82%. Overall, our findings suggest that
Savov뭩 (2011) novel idea of using garbage as an indirect measure of consumption is broadly supported
by data in Korea.

Keywords : The Equity Premium Puzzle, Consumption-Based Asset Pricing, Coefficient of
Relative Risk Aversion, GMM
JEL Classification Number : G12

 

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