This paper studies the relationship between the risk-free rate and the expected consumption growth. Using the monthly time series data from 2002.01-2017.12, we obtain the following empirical evidences: 1) In the whole period, US supports the positive intertemporal substitution effect and rejects the negative precautionary saving effect. Accordingly, China rejects the positive intertemporal substitution effect and supports the negative precautionary saving effect. 2) In the subsample period 2002.01-2008.12, US and China generate the consistent results and both support the CRRA asset pricing model. 3) The estimated time discount factors are 0.9995 and 0.9966 for US and China respectively. 4) US has a relative risk aversion than China both in the whole sample and subsample.
JEL classification numbers: G12, E21
Keywords: Risk-free rate; Consumption growth; Asset pricing; Intertemporal substitution; Precautionary saving