ورود فراغت در عامل تنزیل تصادفیِ مدل قیمت‌گذاری دارایی‌های سرمایه‌ای و سهم آن در مطلوبیت خانوار: مطالعه موردی ایران

نوع مقاله : مقاله پژوهشی

نویسنده

دانشیارگروه اقتصاد، دانشکده کسب و کار و اقتصاد، دانشگاه خلیج فارس، بوشهر

چکیده

در این مقاله سعی شده است فراغت به عنوان یک عامل ریسکی در عامل تنزیل تصادفیِ مدل قیمت‌گذاری دارایی‌های سرمایه گنجانده شود و سهم آن در تابع مطلوبیت خانوار محاسبه گردد. بدین منظور، از داده‌های اقتصاد ایران برای دوره 1357 تا 1400 استفاده گردیده است. ابتدا با بهره‌گیری از یک تابع ترجیحات بازگشتی نظیر تابع ارائه شده توسط اپستین- زین به استخراج معادله اولر حاوی عامل ریسکی فراغت اقدام نموده، سپس با روش گشتاورهای تعمیم یافته GMM به تخمین ضرایب پرداخته شده است. آماره J، مناسب بودن ابزارهای بکار گرفته شده در برآورد ضرایب مدل را تایید می‌نماید. یافته‌ها گویای آن است که سهم فراغت بر مطلوبیت خانواده های ایرانی در بازه مورد بررسی معنادار و برابر 158/0 می‌باشد. بنابراین ورود فراغت به عنوان یک عامل ریسکی در چارچوب CCAPM موجه بوده و از این طریق می‌توان سهم این عامل بر مطلوبیت خانوار را اندازه‌گیری نمود

کلیدواژه‌ها

موضوعات

عنوان مقاله [English]

Introduction of Leisure into the Stochastic Discount Factor of the Consumption-Based Capital Asset Pricing Model and Its Contribution to Household Utility: A Case Study of Iran

نویسنده [English]

  • Reza Roshan
Associate Professor of Economics, Faculty of Business and Economics, Persian Gulf University, Bushehr, Iran
چکیده [English]

This paper incorporates leisure as a risky factor into the stochastic discount factor (SDF) of the Consumption-Based Capital Asset Pricing Model (CCAPM) and estimates its contribution to household utility. To this end, Iranian economic data over the period 1979–2021 are employed. First, using a recursive preference function such as the Epstein–Zin utility function, the Euler equation is derived to incorporate a risky-leisure component. Subsequently, the parameters are estimated using the Generalized Method of Moments (GMM). The J-statistic confirms the validity of the instruments used in estimating the model parameters. The findings indicate that the share of leisure in the utility of Iranian households over the studied period is statistically significant and equals 0.158. Therefore, incorporating leisure as a risky factor within the CCAPM framework is justified, and this approach allows for the quantification of its contribution to household utility

کلیدواژه‌ها [English]

  • Consumption-Based Capital Asset Pricing Model (CCAPM)
  • leisure
  • wage risk
  • stochastic discount factor
  • Generalized Method of Moments (GMM)

مراجع

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نظریه های کاربردی اقتصاد
دوره 13، شماره 2 - شماره پیاپی 49
شماره تابستان سال 1405
خرداد 1405
صفحه 27-48

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