Testando as restrições do modelo intertemporal de consumo CCAPM na América Latina

Abstract

The objetive of this final project is to test the aggregate consumption of some countries from Latin America according to the classic intertemporal theory of consumption. Based on the Consumption Based Asset Pricing Model (CCAPM), the consumer choose his consumption level in each period through the economy’s interest rates. Therefore, the model we used has as reference a high risk asset and a low risk asset. Using quarterly datas from 1997 to 2018, we use the with a Euler equation, which will use the utility function Constant Relative Risk Aversion Preferences (CRRA). So, the model will be estimated by the generalized method of moments technique. The results shows that the Chilean consumers are more patience to consume, following by Mexicans and lastly the Brazilians. However, the Chilean coefficient of risk exceed the model’s restrictions, while to the representative Brazilian and Mexican consumers are not statistically significant.