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Limited asset market participation and the elasticity of intertemporal substitution

[PDF] from northwestern.edu
A Vissing-Jorgensen - 2002 - nber.org
... for limited asset market participation is crucial for obtaining reasonable values of the elasticity
of intertemporal substitution, it is too early to precisely determine the extent to which it helps
resolve ... substitution cross-sectionally, using a time series of cross-sections of C ...
Cited by 474 - Related articles - BL Direct - All 21 versions

Estimating the elasticity of intertemporal substitution when instruments are weak

[PDF] from nber.org
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M Yogo - Review of Economics and Statistics, 2004 - MIT Press
... THE elasticity of intertemporal substitution (EIS) in consumption is a parameter of central
importance in macroeconomics ... rates to the current level of aggregate demand in the intertemporal
IS relation ... implications for the relative mag- nitudes of income and substitution effects in ...
Cited by 132 - Related articles - SFX@cnb - BL Direct - All 14 versions

[PDF] Long-run labor supply and the elasticity of intertemporal substitution for consumption

[PDF] from cepr.org
S Basu… - manuscript, University of Michigan, 2002 - cepr.org
... income and substitution effects on labor supply cancel, so that a permanent increase in the real ...
across time, (B) empirical estimates of the elasticity of intertemporal substitution have repeatedly ...
averaged rational expectations error et + θet-i. C is consumption, r is the real interest ...
Cited by 95 - Related articles - View as HTML - All 13 versions

[PDF] The intertemporal elasticity of substitution: An exploration using a US panel of state data

[PDF] from jstor.org
P Beaudry… - Economica, 1996 - JSTOR
... 1996] INTERTEMPORAL ELASTICITY OF SUBSTITUTION ... Consequently, any mis-measurement
of the actual cost of housing could greatly impair any evidence of short-run intertemporal
substitution, and therefore ? ... Consumption Instruments Lags 0 (se) A (se) IES (se) OID test ...
Cited by 120 - Related articles - BL Direct - All 8 versions

Reconciling conflicting evidence on the elasticity of intertemporal substitution: A macroeconomic perspective

[PDF] from psu.edu
F Guvenen - Journal of Monetary Economics, 2006 - Elsevier
... to 1, reflecting the view that a high degree of intertemporal substitution is more ... In an influential
paper Hall (1988) has argued that consumption growth is ... of heterogeneity: limited participation
in the stock market and heterogeneity in the elasticity of intertemporal substitution. ...
Cited by 205 - Related articles - BL Direct - All 22 versions

A tax-based estimate of the elasticity of intertemporal substitution

[PDF] from bcrp.gob.pe
J Gruber - 2006 - nber.org
... investments. Using the after-tax rate of return to capital, Mulligan estimates a
very large elasticity of intertemporal substitution of over 2. ... on both consumption
and interest rates and bias the estimates in this context. 2 ...
Cited by 57 - Related articles - BL Direct - All 9 versions

[PDF] Measuring intertemporal substitution: the role of durable goods

[PDF] from jstor.org
M Ogaki… - Journal of Political Economy, 1998 - JSTOR
... In estimating the intertemporal elasticity of substitution, Hall finds that, when one takes account
of time ... As Hall (1988) points out, intertemporal substitution by consumers is a central element
of ... We assume that the constant elasticity of substitution (CES) utility function represents ...
Cited by 286 - Related articles - BL Direct - All 9 versions

[PDF] Consumption, income and interest rates: Reinterpreting the time series evidence

[PDF] from nber.org
JY Campbell… - 1989 - nber.org
... It also means that forward-looking consumers do not adjust their consump- tion growth in response
to interest rates, so their intertemporal elasticity of substitution in consumption must be close to
zero. Hall (1988) also argues that the elasticity of substitution of permanent ...
Cited by 1241 - Related articles - View as HTML - All 13 versions

[PDF] Disentangling the coefficient of relative risk aversion from the elasticity of intertemporal substitution: an irrelevance result

[PDF] from jstor.org
NR Kocherlakota - Journal of Finance, 1990 - JSTOR
... 1) the quantity (1 -y) is both the reciprocal of the elasticity of intertemporal substitution (EIS) and ...
In other words, the individual has the CES utility function, with elasticity of substitution ... Singleton's
(1983) maximum-likelihood estimate of y is a measure of intertemporal preferences. ...
Cited by 108 - Related articles - All 6 versions

Saving and the real interest rate in LDCs

A Giovannini - Journal of Development Economics, 1985 - Elsevier
... In the cases where the estimate of the elasticity of intertemporal substitution is significant, the ...
are reported in table 8. The estimate of intertemporal substitution in consumption is ... from Keynesian
equations with estimates of the intertemporal elasticity of substitution in consumption ...
Cited by 272 - Related articles - All 5 versions

Intertemporal asset pricing without consumption data

[PDF] from harvard.edu
JY Campbell - 1992 - nber.org
... first covariance is with consumption growth divided by the intertemporal elasticity of substitution;
this gets a ... coeffi- cient of relative risk aversion 7. The elasticity of intertemporal substitution с does ...
iid returns there is no interesting role for intertemporal substitution in consumption. ...
Cited by 607 - Related articles - BL Direct - All 18 versions

Consumption over the Life Cycle and over the Business Cycle

[PDF] from ucl.ac.uk
OP Attanasio… - 1993 - nber.org
... of consumption, implying that wealthier families find it easier to substitute consumption across
periods ... Finally, note that the value of the elasticity of intertemporal substitution can vary with family ...
financial instrument that has the same lending and borrowing nominal interest rate «t ...
Cited by 369 - Related articles - BL Direct - All 18 versions

Is consumption growth consistent with intertemporal optimization? Evidence from the consumer expenditure survey

[PDF] from ucl.ac.uk
OP Attanasio… - 1994 - nber.org
... estimates of key behavioral parameters (including the elasticity ofintertempora] substitution) and
no rejections of theoretical restrictions. ... where ê is individual consumption, r is the real interest
rate, a is the elasticity of intertemporal substitution and q is a residual uncorrelated ...
Cited by 499 - Related articles - BL Direct - All 16 versions

[PDF] Habit formation and intertemporal substitution in individual food consumption

[PDF] from jstor.org
NY Naik… - The Review of Economics and Statistics, 1996 - JSTOR
... Our results permit direct estimation of the elasticity of intertemporal substitution in consumption
and its ... of values as Constantinides (1990), and calculate the intertem- poral elasticity of substitution. ...
of y, a, and b, we then calculate the intertemporal elasticity of substitution and its ...
Cited by 82 - Related articles - All 8 versions

Intertemporal substitution and durable goods: long-run data

M Ogaki… - Economics Letters, 1998 - Elsevier
... Hence, the estimator of the intertemporal elasticity of substitution which is based only on the growth
rate ... We assume that the Constant Elasticity of Substitution (CES) utility function represents
intra-temporal ... good, P 2 (t), is equated with the marginal rate of substitution based on ...
Cited by 40 - Related articles - All 9 versions

[PDF] Private saving and terms of trade shocks: evidence from developing countries

[PDF] from jstor.org
JD Ostry… - Staff Papers-International Monetary Fund, 1992 - JSTOR
... In equation (2) the parameter cr denotes the intertemporal elasticity of substitution. ... the developing
countries, and Hall (1988) for the United States-the inter- temporal elasticity of substitution ... of our
finding of a statistically significant de- gree of intertemporal substitution relates to ...
Cited by 270 - Related articles - BL Direct - All 12 versions

Evaluating risky consumption paths: the role of intertemporal substitutability

M Obstfeld - European Economic Review, 1994 - Elsevier
... when the coefficient of relative risk aversion and the elasticity of intertemporal substitution are
not ... 1992, Alternative specifications for consumption and the estimation of the intertemporal
elasticity of substitution. ... Epstein, LG and SE Zin, 1989, Substitution, risk aversion, and the ...
Cited by 195 - Related articles - SFX@cnb - All 10 versions

The labor-supply elasticity and borrowing constraints: Why estimates are biased

[PDF] from hhs.se
D Domeij… - Review of Economic Dynamics, 2006 - Elsevier
... similarmethods can lead to a downward bias in estimates of the intertemporal elasticity of
substitution(IES ... equation, even ifestimated on leisure, is not related to the intertemporal
labor-supply ... 22Other studies using the PSID to estimate the labor-supply elasticity include ...
Cited by 178 - Related articles - All 26 versions

[PDF] Financial deregulation and consumption in the United Kingdom

[PDF] from jstor.org
T Bayoumi - The Review of Economics and Statistics, 1993 - JSTOR
... the fall in the liquidity constraints due to deregulation (8) and the intertemporal elasticity of
substitution (o-) were ... The in- tertemporal elasticity of consumption with respect to real interest
rates is ... "Intertemporal Substitution in Consumption," Jour- nal of Political Economy 96 (Apr. ...
Cited by 93 - Related articles - All 8 versions

Consumption adjustment to real interest rates: Intertemporal substitution revisited

JH Hahm - Journal of Economic Dynamics and Control, 1998 - Elsevier
... The magnitude of the intertemporal elasticity of substitution ranges from 0.2357 to 0.4144 with
the average ... 1988) found low and insignifi cant estimates for the elasticity of intertemporal
substitution for nondurable ... 0.3869 r,+1 + ,+1. (0.1227) Note that the elasticity measure rises ...
Cited by 47 - Related articles - All 8 versions

Risk aversion and intertemporal substitution in the capital asset pricing model

A Giovannini, P Weil - 1989 - nber.org
... with (17) is shown, in Appendix B.2 D, to be: Et[Rijt+i RMJ+1 } = £<{Д,<+1 ñM,í+i'? } (18) As
equation (18) shows, with a unit elasticity of intertemporal substitution and conditionally ... The
marginal rate of substitution between current and future consumption reduces to [see ...
Cited by 126 - Related articles - All 7 versions

Household production and the excess sensitivity of consumption to current income

[PDF] from bu.edu
M Baxter… - 1999 - nber.org
... y(Ct, Ht)'vL(Lt) (1 — a)(C,Ht)v(L) II) = W• (0.8) Equation (0.6) is the intertemporal efficiency
condition relating the marginal ... consumption aggregate y; (denotes the elasticity of substitution
between market consumption and consumption of goods produced at home; ...
Cited by 111 - Related articles - BL Direct - All 19 versions

[CITATION] Death to the log-linearized consumption Euler equation!(And very poor health to the second-order approximation)

[PDF] from financerisks.com
CD Carroll - The BE Journal of Macroeconomics, 2001 - bepress
Cited by 149 - Related articles - SFX@cnb - BL Direct - All 24 versions

Housing, consumption and asset pricing

[PDF] from marginalq.com
M Piazzesi, M Schneider… - Journal of Financial Economics, 2007 - Elsevier
... Preferences over aggregate consumption take the standard form (1) View the MathML source where
View the MathML source and σ is the intertemporal elasticity of substitution. For low values of σ,
agents are unwilling to substitute aggregate consumption over time. ...
Cited by 330 - Related articles - BL Direct - All 34 versions

Capital, interest, and aggregate intertemporal substitution

[PDF] from psu.edu
CB Mulligan - 2002 - nber.org
... preference parameters, the constant intertemporal elasticity of substitution σ. ... tells us less about
intertemporal substitution when the risk free return is driven by “taste” shocks. ... occurs because
taste changes have opposing wealth and substitution effects on consumption growth. ...
Cited by 72 - Related articles - BL Direct - All 7 versions

[PDF] Government spending, the real interest rate, and the behavior of liquidity-constrained consumers in developing countries

[PDF] from jstor.org
N Rossi - Staff Papers-International Monetary Fund, 1988 - JSTOR
... problems associated with aggregate savings equations, estimates the elasticity of intertemporal
substitution in (private ... seriously to bias downward the estimates of the intertemporal elasticity
of substi ... where the use of IDA resources is common), intertemporal substitution is weak ...
Cited by 102 - Related articles - All 4 versions

Consumer demand and the life-cycle allocation of household expenditures

[PDF] from jstor.org
R Blundell, M Browning… - The Review of …, 1994 - restud.oxfordjournals.org
... Given our concavity assumption the intertemporal elasticity should be negative for all values
of Ct. ... cycle" variables may make it difficult to pick up high frequency intertemporal substitution
effects. ... the real interest rate jumps, becoming positive and higher than consumption growth ...
Cited by 376 - Related articles - SFX@cnb - BL Direct - All 17 versions

[PDF] Intertemporal substitution and durable goods: an empirical analysis

[PDF] from jstor.org
Y Fauvel… - Canadian Journal of Economics, 1991 - JSTOR
... They imply that the elasticity of intertemporal substitution for this category of goods cannot be
ade- quately determined ... It is a controversy whether the intertemporal elasticity of substitution
is large enough to make changes in expected rates of return ... Intertemporal substitution 203 ...
Cited by 25 - Related articles - All 7 versions

Estimating euler equations

[PDF] from ucl.ac.uk
OP Attanasio… - 2000 - nber.org
... all, the first order conditions one uses to characterize the inter-temporal allocation of ... possible
and this means that changes in consumption due to intertemporal substitution and variation ... Notice
that to be able to estimate the elasticity of intertemporal substitution with a log- linear ...
Cited by 101 - Related articles - BL Direct - All 19 versions

Using farm consumption data to estimate the Intertemporal Elasticity of Substitution and Relative Risk Aversion coefficients

[PDF] from cornell.edu
AO Abdulkadri… - Agricultural Finance Review, 2000 - emeraldinsight.com
... The difference in the estimates for the intertemporal elasticity of substitution and the coefficient
of relative risk aversion for the three groups of farm households in this ... Campbell, JY "Intertemporal
Asset Pricing Without Consumption Data." Amer. ... "Elasticities of Substitution in Real ...
Cited by 13 - Related articles - SFX@cnb - BL Direct - All 4 versions

What do Aggregate Consumption Euler Equations Say about the Capital Income Tax Burden?

[PDF] from psu.edu
CB Mulligan - 2004 - nber.org
... substitution, and ρ as the rate of time preference. ... cycle? Consumption Euler equations may help
produce an estimate of the supply elasticity of capital ... 21(2), July 1983: 129-58. Hall, Robert E.
Intertemporal Substitution in Consumption.” Journal of Political Economy. 96(2), ...
Cited by 19 - Related articles - BL Direct - All 22 versions

Asset holding and consumption volatility

[PDF] from ucl.ac.uk
O Attanasio, J Banks… - 1998 - nber.org
... Euler equation (3) under the assumption of CRRA (or iso-elastic) preferences to ... exhibit Constant
Relative Risk Aversion, and maintaining the assumption of inter-temporal separability, the ... If
intertemporal prices were the same across individuals and the utility function depended ...
Cited by 197 - Related articles - BL Direct - All 20 versions

Understanding risk and return

[PDF] from harvard.edu
JY Campbell - 1993 - nber.org
... covariance is with consumption growth divided by the intertemporal elasticity of substitution; this
gets ... The simplest approach is to assume that the elasticity of intertemporal substitution a = 1 ...
encountered numerical difficulties in estimating the restricted intertemporal aaaet pricing ...
Cited by 959 - Related articles - BL Direct - All 24 versions

Intertemporal Substitution and Terms‐of‐Trade Shocks

P Cashin… - Review of International Economics, 2003 - Wiley Online Library
... of terms-of-trade shocks, a country may wish to smooth consumption intertemporally in ... a small
open economy, an adverse terms-of-trade shock has substitution effects ... for the United States
is very similar to the assumed intertemporal elasticity of substitution between importables ...
Cited by 17 - Related articles - SFX@cnb - BL Direct - All 8 versions

Consumption and Habits: Evidence from Panel Data*

[PDF] from jstor.org
R Carrasco, JM Labeaga… - The Economic …, 2005 - Wiley Online Library
... constraints do not bind, it is still possible to analyse intertemporal substitution effects using ... price
elasticities have been also computed, as well as the intertemporal elasticity of substitution and
a ... In this case, we cannot reject the null hypothesis of intertemporal separability: the ...
Cited by 73 - Related articles - SFX@cnb - All 18 versions

Risk Aversion Versus Intertemporal Substitution

[PDF] from jstor.org
CJ Neely, A Roy… - Journal of Business and Economic Statistics, 2001 - ASA
... on an asset return, leads to much more stable, small, sensible estimates of the intertemporal
elasticity of substitution. ... Neely, Roy, and Whiteman: Risk Aversion Versus Intertemporal
Substitution ... return than it is an equation for determining an asset return from consumption growth ...
Cited by 45 - Related articles - SFX@cnb - BL Direct - All 18 versions

Interest rates, exchange rates and present value models of the current account

[PDF] from jstor.org
PR Bergin… - The Economic Journal, 2000 - Wiley Online Library
... Pt Pt 1 (ãÀ1)(1Àa) 4 5 X (3) In this condition ã 1aó is the intertemporal elasticity of substitution. ...
Our tests consider a range of values for the intertemporal elasticity, but we focus attention on
the case in which we estimate the elasticity in the context of our model. ...
Cited by 166 - Related articles - SFX@cnb - BL Direct - All 18 versions

Saving behavior in low-and middle-income developing countries: a comparison

[PDF] from uni-muenchen.de
M Ogaki, J Ostry… - 2006 - papers.ssrn.com
... We allow for cross- country variation in both the intratemporal elasticity of substitution between
traded and nontraded goods and the intertemporal elasticity of substitution. ... an infinitely-lived
representative household whose objective is to choose a consumption stream that ...
Cited by 234 - Related articles - BL Direct - All 14 versions

Using subjective income expectations to test for excess sensitivity of consumption to predicted income growth

[PDF] from psu.edu
T Jappelli… - European Economic Review, 2000 - Elsevier
... i,t+1 is the real after-tax rate of interest, ρ −1 the intertemporal elasticity of substitution, δ the ... a
linearized Euler equation can bias the coefficient of the intertemporal rate of substitution. ... once
the assumption of certainty equivalence is dropped by the theory of intertemporal choices ...
Cited by 70 - Related articles - BL Direct - All 20 versions

Consumption

RE Hall - 1987 - nber.org
... he faced a higher interest rate. The consumer will substitute away from current consumption
because it is, in effect, more expensive. A1tFX)ugh an ... 18 Page 21. consideration of the entire
intertemporal planning problem of the consumer and does not decompose in a simple way. ...
Cited by 59 - Related articles - All 6 versions

Euler equations and money market interest rates: A challenge for monetary policy models

[PDF] from georgetown.edu
MB Canzoneri, RE Cumby… - Journal of Monetary Economics, 2007 - Elsevier
... In a full, general equilibrium model, Jermann (1998) shows that introducing an elastic supply
of capital can reduce interest rate variability, but would ... Assuming that habit is external greatly
simplifies the representative agent's intertemporal marginal rate of substitution. ...
Cited by 51 - Related articles - All 30 versions

Estimating the Euler equation for output

[PDF] from uqam.ca
JC Fuhrer… - Journal of Monetary Economics, 2004 - Elsevier
... appropriate functional form for the underlying utility function, the parameter σ can then be
interpreted as the intertemporal elasticity of substitution. ... equation (1) assumes that the 1-quarter
interest rate affects the economy by inducing intertemporal substitution in consumption. ...
Cited by 178 - Related articles - All 27 versions

Intratemporal substitution and government spending

[PDF] from jstor.org
RA Amano… - Review of Economics and Statistics, 1997 - MIT Press
... a significant degree of substitution between government and private consumption is sensitive
to ... 1/ can be interpreted as estimates of the intertemporal elasticities of substitution. ... concluding,
it is worthwhile to compare the intertemporal elasticity of substitution estimates ob- tained ...
Cited by 54 - Related articles - SFX@cnb - All 10 versions

Real money balances and the timing of consumption: an empirical investigation

[PDF] from oxfordjournals.org
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EF Koenig - The Quarterly Journal of Economics, 1990 - qje.oxfordjournals.org
... In Section IV the Euler equations for interest-bearing assets and money are estimated jointly. ...
Substitute from (2) into equation (1') to obtain ... In subsection AI examine whether or not, apart from
the influence of the real rate of interest, consumption follows a random walk. ...
Cited by 46 - Related articles - SFX@cnb - All 9 versions

[PDF] Mismeasurement of the elasticity of intertemporal substitution: The role of limited stock market participation

[PDF] from psu.edu
F Guvenen - Unpublished manuscript, University of Rochester, 2001 - Citeseer
... of the problem: First we ask, do we really know the value of the intertemporal substitution? ... (1)
where ∆C is the change in log consumption between two consecutive periods, Rf is the ... rate, η
is the time preference rate, and ρ is the elasticity of intertemporal substitution parameter. ...
Cited by 23 - Related articles - View as HTML - All 12 versions

Consumption, house prices, and collateral constraints: a structural econometric analysis

[PDF] from bc.edu
M Iacoviello - Journal of Housing Economics, 2004 - Elsevier
... formed at date 0, 10 β is the discount factor, σ is the intertemporal elasticity of substitution, and
j ... structure of the economy, since it is derived only from a simple intertemporal optimization problem ...
of the unconstrained agents, and θ, which is related to the price elasticity of housing ...
Cited by 124 - Related articles - All 14 versions

[PDF] Habits, rationality and myopia in the life cycle consumption function

[PDF] from jstor.org
J Muellbauer - Annales d'Economie et de Statistique, 1988 - JSTOR
... Then the marginal rates of substitution of goods in period t are independent of consumption
patterns in earlier ... Habits are a par ticular kind of breach of this intertemporal separability and
have been in widespread use since FARRELL [1952] to justify dynamic effects in demand ...
Cited by 125 - Related articles - All 15 versions

[PDF] Currency substitution under nonexpected utility: some empirical evidence

[PDF] from jstor.org
G Bufman… - Journal of Money, Credit and Banking, 1993 - JSTOR
... In that case, t is the subjective discount factor; p is a parameter that reflects inter- temporal
substitution, in that 1/(1-p) is the elasticity of intertemporal substitution of broadly defined ... The
estimated values of the intertemporal elasticity of substitution range from 0.39 to 0.83 . ...
Cited by 33 - Related articles - BL Direct - All 8 versions

Private consumption, public consumption and liquidity constraints in developing countries: some empirical evidence

AEH Speight, MJ White - Applied Economics, 1995 - Taylor & Francis
... on the Euler equation for rational optimizing consumers which suggest a near-zero elasticity
of intertemporal substitution in con ... reporting estimates of the proportion of con- sumption
constrained by liquidity constraints, the elasticity of intertemporal substituion, substitution ...
Cited by 10 - Related articles - SFX@cnb - BL Direct - All 7 versions

[PDF] On cash-in-advance models of money demand and asset pricing

[PDF] from jstor.org
H Bohn - Journal of Money, Credit and Banking, 1991 - JSTOR
... separable utility a risk-aversion parameter 8 > 1 is equivalent o an elasticity of intertemporal
substitution below one ... In case of low intertemporal substitution (8 > 1), consumers respond to
a high price of money ... in Example 2). Since 0 < g( ) < 1 for 0 < (X < 1, the elasticity in (18) is ...
Cited by 30 - Related articles - All 7 versions

Intertemporal substitution, taste shocks and cointegration

P Kugler - Economics Letters, 1988 - Elsevier
... are given in table 2. Besides the estimates of the elasticity of intertemporal substitution 1 a ... is 0.88
and 1.05 respectively, points to a higher degree of intertemporal substitution in the ... for direct
comparison, it is of interest to estimate the intertemporal elasticity of substitution from the ...
Cited by 7 - Related articles - All 5 versions

[BOOK] Alternative Specifications for Consumption and the Estimation of the Intertemporal Elasticity of Substitution

[PDF] from frb.org
, … Reserve Bank of Minneapolis. Institute for Empirical … - 1992 - mpls.frb.org
... 3. Estimates of the Intertemporal Elasticity of Substitution using Aggregate US Data ... the actual
cost of housing could greatly impair any evidence of short run intertemporal substitution, and
therefore ... the one hand, if the failure of the standard Euler equations for consumption is due ...
Cited by 6 - Related articles - All 13 versions

Consumption growth and the intertemporal elasticity of substitution: some evidence from income quintile groups in Japan

S Hamori - Applied Economics Letters, 1996 - Taylor & Francis
... the intertemporal elasticity of substitution, the smaller the consumption growth rate for a given
interest rate. ... for the relevant income bracket were used as instrumental variables, ie the growth
rate of consumption in the ... The intertemporal elasticity of substitution has a positive value ...
Cited by 10 - Related articles - SFX@cnb - BL Direct - All 8 versions

Wealth-varying intertemporal elasticities of substitution: evidence from panel and aggregate data

A Atkeson, M Ogaki - Journal of Monetary Economics, 1996 - Elsevier
... Economics 38 (1996) 50534 527 5. Measuring intertemporal elasticities of substitution In this ...
precise measurement of any individual's intertemporal elasticity of substitution of consumption
expen diture ... l, 2, 71, and 72, the ratio of the intertemporal elasticity of substitution for any ...
Cited by 201 - Related articles - BL Direct - All 7 versions

[PDF] " Rule-of-Thumb" Consumption, Intertemporal Substitution, and Risk Aversion

[PDF] from jstor.org
CE Weber - Journal of Business & Economic Statistics, 2000 - JSTOR
... aversion does not equal the re- ciprocal of its intertemporal elasticity of substitution, then models ...
This implies that, even if an allowance for intertemporal substitution is appropriate [ie ... First, I
estimate A directly from the consumption Euler equation for the representative permanent ...
Cited by 14 - Related articles - BL Direct - All 8 versions

Estimating life-cycle parameters from consumption behavior at retirement

[PDF] from umich.edu
J Laitner… - 2005 - nber.org
... Consider the intertemporal elasticity of substitution (IES). ... We estimate, quite precisely,
intertemporal elasticity parameter values that are on the higher end of those ... on the size of change
in consumption can help us to identify the taste for intertemporal substitution. ...
Cited by 42 - Related articles - All 24 versions

Credit channels and consumption in Europe: empirical evidence

[PDF] from bis.org
G De Bondt - BIS Working Paper No. 69, 1999 - papers.ssrn.com
... directly on the magnitude of the intertemporal elasticity of substitution (σ > 0). If the real interest ...
is constant or the intertemporal substitution elasticity is zero, then equation (6) shows that ... the
underlying consumption model applies to variables measured at points in time, whereas ...
Cited by 29 - Related articles - All 11 versions

Non-stationarity and stage-of-the-business-cycle effects in consumption-based asset pricing relations

[PDF] from usc.edu
WE Ferson, JJ Merrick - Journal of Financial Economics, 1987 - Elsevier
... eg, Pratt (1964)] or as the inverse of the intertemporal elasticity of substitution [eg, Hall ... Eichenbaum,
M. and L. Hansen, 1985, Estimating models with intertemporal substitution using aggregate time ...
Flavin, M., 1984, Excess sensitivity of consumption to current income: Liquidity ...
Cited by 62 - Related articles - All 10 versions

[PDF] Consumption, financial and real wealth in the G-5

[PDF] from niesr.ac.uk
R Barrell… - DISCUSSION PAPERS-NATIONAL INSTITUTE OF …, 2004 - niesr.ac.uk
... coefficient on RRt-1 could be interpreted as the inverse of the intertemporal elasticity of substitution. ...
Boone et al (2001), who impose long-run unit elasticity between consumption ... is consistent with
an effect of financial liberalisation on intertemporal substitution, which emerges ...
Cited by 27 - Related articles - View as HTML - BL Direct - All 9 versions

A Consumption‐Based Explanation of Expected Stock Returns

[PDF] from nber.org
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M Yogo - The Journal of Finance, 2006 - Wiley Online Library
... is Epstein and Zin's (1991) recursive function, which allows for the separation of the elasticity
of intertemporal substitution (EIS) from ... Define the intertemporal marginal rate of substitution (IMRS)
as. ... Ogaki and Reinhart (1998, Table 2) estimate a higher elasticity of ρ= 1.167 with a ...
Cited by 277 - Related articles - SFX@cnb - BL Direct - All 26 versions

[PDF] Habit formation in consumer preferences: Evidence from panel data

[PDF] from jstor.org
KE Dynan - American Economic Review, 2000 - JSTOR
... Taking the natural logarithm of (7) and using equation (2) to substitute for j yields: ... assumed a
constant real interest rate, but the relationship between the real interest rate and consumption
growth should be closely related to the intertemporal elasticity of substitution. 17 ...
Cited by 274 - Related articles - BL Direct - All 13 versions

Labour supply and intertemporal substitution

[PDF] from ucl.ac.uk
R Blundell, C Meghir… - Journal of Econometrics, 1993 - Elsevier
... Indeed, Blundell, Browning, and Meghir (1992) estimate the intertemporal elasticity of substitution
for consumption ... The parameter p, influences the elasticity of intertemporal substitution. ... extensive
evidence on the size of the intertemporal substitution elasticity for consumption ...
Cited by 67 - Related articles - All 14 versions

Intertemporal substitution in consumption revisited

Z Hu - IMF Working Paper No. 93/26, 1993 - papers.ssrn.com
... in my working paper (Summers 1982) values of the intertemporal elasticity of substitution which
cluster ... time preference, a reveals risk aversion, while a is the elasticity of intertemporal substitution. ...
Since both risk aversion and intertemporal substitution parameters play a role in ...
Cited by 9 - Related articles - All 8 versions

[BOOK] A microeconometric model of intertemporal substitution and consumer demand

[PDF] from mcmaster.ca
R Blundell, M Browning, C Meghir… - 1989 - economics.mcmaster.ca
... Given that the estimated elasticity of intertemporal substitution is often used as a basis for ...
parameters that enter both the lntra-tetnporal and inter-temporal allocation decisions ... We
concentrate attention on the intertemporal substitution elasticity; that is, the percentage change ...
Cited by 32 - Related articles - All 13 versions

Estimating intertemporal substitution in Japan

M Fuse - Applied Economics Letters, 2004 - ingentaconnect.com
... REFERENCES Hall, RE (1988) Intertemporal substitution in consumption, Journal of Political
Economy, 96, 339–57. Hamori, S. (1996) Consumption growth and the intertemporal elasticity
of substitution: some evidence from income quintile groups in Japan, Applied ...
Cited by 13 - Related articles - SFX@cnb - BL Direct - All 7 versions

Approximation bias in linearized Euler equations

[PDF] from jstor.org
S Ludvigson… - Review of Economics and Statistics, 2001 - MIT Press
... motive, the degree of prudence and risk aversion, and the willingness of consumers to substitute
consumption over time. ... We start with a standard intertemporal optimization problem, in which
a finite-lived consumer with isoelastic ... or, in the specific case of isoelastic-elastic utility: ...
Cited by 94 - Related articles - SFX@cnb - BL Direct - All 23 versions

Consumption, wealth, the elasticity of intertemporal substitution and long-run stock market returns

[PDF] from uni-bocconi.it
C Favero - CEPR Discussion Paper No. 5110, 2005 - papers.ssrn.com
... for expected consumption growth allows the estimation of the intertemporal elasticity of substitution
and provides ... Such a relation is determined by the elasticity of intertemporal substitution. ... function
delivers a precise estimate of the coefficient of intertemporal substitution and a ...
Cited by 8 - Related articles - All 15 versions

Tests for liquidity constraints: a critical survey

F Hayashi - 1985 - nber.org
... liquidity constraints there should be a negative correlation between the marginal rate of
substitution and A1+w1 or any variable that reduces the ... This a- is called the elasticity of
intertemporal substitution. ... Since the consumption innovation e2 and E2 is uncorrelated with ...
Cited by 261 - Related articles - All 9 versions

Intertemporal non-separability and

CE Weber - Journal of Monetary Economics, 2002 - Elsevier
... function which separates the coefficient of relative risk aversion from the intertemporal elasticity
of substitution. ... function which is an isoelastic function of a constant elasticity of substitution ...
consumption (11) The isoelastic-distributed lag version of intertemporal non-separability in ...
Cited by 24 - Related articles - All 6 versions

Risks for the long run: A potential resolution of asset pricing puzzles

[PDF] from jstor.org
R Bansal… - The Journal of Finance, 2004 - Wiley Online Library
... Zin (1989) preferences, which allow for a separation between the intertemporal elasticity of
substitution (IES) and ... is determined by the magnitudes of the risk aversion and the elasticity of
substitution. ... ψ, is greater than 1. In this case the intertemporal substitution effect dominates ...
Cited by 1038 - Related articles - SFX@cnb - BL Direct - All 51 versions

Rates of return to public and private capital: new estimates using nonlinear Euler equations

JE Boscá, A Cutanda… - Applied Economics, 2004 - Taylor & Francis
... extended by estimating the parameter related to the elasticity of intertemporal substitution that
was ... The intertemporal marginal rate of substitution for a representative consumer with ... two output
elasticities and of the coefficient related to the intertemporal elasticity of substitution. ...
Cited by 9 - Related articles - SFX@cnb - BL Direct - All 8 versions

Finite sample bias in IV estimation of intertemporal labor supply models: is the intertemporal substitution elasticity really small?

[PDF] from jstor.org
CI Lee - Review of Economics and Statistics, 2001 - MIT Press
... where ct is consumption at time t, ht is the hours of work ... Given that the theory of inter- temporal
substitution requires a positive figure for the ... TABLE 1.—ESTIMATED INTERTEMPORAL
ELASTICITY OF SUBSTITUTION OF LABOR SUPPLY 1967–1976 BALANCED SAMPLE (N ...
Cited by 42 - Related articles - SFX@cnb - All 5 versions

Life-cycle expenditure allocations and the consumption costs of children

[PDF] from ucl.ac.uk
J Banks, R Blundell… - European Economic Review, 1994 - Elsevier
... as column (3) in table 1, ie the base period reference elasticity of intertemporal substitution is
.68 ... to look outside simple current period models and acknowledge the intertemporal factors that ...
The main reason why households do not substitute expenditures over time may well not ...
Cited by 42 - Related articles - SFX@cnb - All 12 versions

The effects of financial deregulation on consumption

T Bayoumi… - IMF Working Paper No. 89/88, 1989 - papers.ssrn.com
... These results agree with Hall (1988), who finds that the intertemporal elasticity of substitution
is low using data for the United ... with labor supply and hence that the correlation of income and
consumption is due to substitution between leisure and consumption, would be ...
Cited by 19 - Related articles

Intertemporal substitution, imports and the permanent income model

RA Amano… - Journal of International Economics, 1996 - Elsevier
... of utility, 1 la may be interpreted as the longrun intertemporal elasticity of substitution (IES) for ...
these IES estimates (including our own) imply that the income elasticity for domestic ... a significant
and positive IES for import consumption suggests that intertemporal substitution is an ...
Cited by 17 - Related articles - BL Direct - All 8 versions

Seasonal fluctuations and the life cycle-permanent income model of consumption

JA Miron - 1987 - nber.org
... 16 There are also non-stochastic Euler equations. This paper does not examine those
equations. ... Q U(C) = >Uq(Cj) (12) q 1 Uq(Cfl q=1,...,Q (13) In (13), 'lq is the intertemporal
elasticity of substitution in consumption of the qth consumption service. ...
Cited by 109 - Related articles - All 10 versions

[PDF] Intertemporal substitution in import demand and habit formation

[PDF] from unimaas.nl
D Croix… - Journal of Applied Econometrics, 1998 - arno.unimaas.nl
... approximations to the true effects, even with rational expectations and in the absence of
consumption insurance ... Constantinides (1990) shows that there is a gap between the relative
risk aversion and the intertemporal elasticity of substitution. ... INTERTEMPORAL SUBSTITUTION ...
Cited by 22 - Related articles - View as HTML - All 22 versions

Private consumption behaviour, liquidity constraints and financial deregulation in France: a nonlinear analysis

E Girardin, L Sarno… - Empirical Economics, 2000 - Springer
... the assumption of a constant real interest rate or a zero intertemporal elasticity of substitution,
measured con ... lagged instrument set are reported in Table 4. The intertemporal elasticity of
substition ... Nevertheless, the intertemporal elas- ticity of substitution, s, is found insigni®cantly ...
Cited by 15 - Related articles - SFX@cnb - BL Direct - All 6 versions

[PDF] Excess sensitivity and asymmetries in consumption: an empirical investigation

[PDF] from jstor.org
R Garcia, A Lusardi… - Journal of Money, Credit, and Banking, 1997 - JSTOR
... Third, (1) assumes separability between consumption and leisure. ... micro data have abundant
information on consumers, the time period is rarely long enough to allow sufficient variations
in the interest rate for an accurate estimate of the intertemporal elasticity of substitution. ...
Cited by 79 - Related articles - BL Direct - All 14 versions

Temporary and permanent changes in consumption growth

[PDF] from jstor.org
G Berloffa - The Economic Journal, 1997 - Wiley Online Library
... the wife and the educational level appear to alter the intertemporal elasticity of substitution of
the ... where σ is the elasticity of intertemporal substitution, r is the real interest rate (r and ... of a second
earner does not change the household's attitude towards intertemporal substitution. ...
Cited by 11 - Related articles - SFX@cnb - BL Direct - All 8 versions

[PDF] Intertemporal substitution and consumer durables: An analysis based on japanese data

[PDF] from tsukuba.ac.jp
M Okubo - Institute of Policy and Planned Sciences …, 2002 - infoshako.sk.tsukuba.ac.jp
... of substitution ranges from 2.208 to 2.537. ... 4.2 The Intertemporal Elasticity of Substitution ... 12 The
following GMM results appear robust to other combinations of instrumental variables that include
the growth rate of C2t in place of the real consumption ratio. 12 Page 15. ...
Cited by 7 - Related articles - View as HTML - All 5 versions

Private saving, interest rates and liquidity constraints in LDCs: recent evidence

FA Villagomez - Applied Economics, 1997 - Taylor & Francis
... the `Euler equa- tion approach' that exploits the implications of inter- temporal optimization and
allows one to estimate the coe cient of intertemporal substitution in consumption. ... of interest in
Equation 3 are u , which controls the intertemporal elasticity of substitution in con ...
Cited by 15 - Related articles - SFX@cnb - BL Direct - All 8 versions

[PDF] Government spending and private consumption: some international evidence

[PDF] from jstor.org
G Karras - Journal of Money, Credit and Banking, 1994 - JSTOR
... where p = ba, and ff = -u'lc*u", the elasticity of intertemporal substitution, is assumed to be a
constant ... expands, it starts offering more and more services (like school lunches) that substitute
for, rath- er than services (like national defense) that complement private consumption. ...
Cited by 184 - Related articles - BL Direct - All 7 versions

Consumption and portfolio decisions when expected returns are time varying

[PDF] from oxfordjournals.org
JY Campbell… - 1996 - nber.org
... of relative risk aversion 7 and not the elasticity of intertempo- ral substitution ф ... 3.6.2 Unit Elasticity
of Intertemporal Substitution When ф is equal to one, we have shown above that the ... Since data
on consumption are available only from 1890, we use the sample 1890-1993 in our ...
Cited by 622 - Related articles - BL Direct - All 23 versions

[PDF] Consumption and capital market imperfections: An international comparison

[PDF] from jstor.org
T Jappelli… - The American Economic Review, 1989 - JSTOR
... Comparing the estimates of X with those reported in the literature is of some interest. ... obtained
by Hayashi (1985b) on the basis of the Japanese Survey of Family Consumption (0.15 ... not rejected,
with the exception of the UK Overall, the results of the Euler equations indicate that ...
Cited by 341 - Related articles - All 13 versions

Liquidity constraints, precautionary saving and aggregate consumption: an international comparison

N Sarantis… - Economic Modelling, 2003 - Elsevier
... t+1 where σ=1/β, which may be interpreted as the intertemporal elasticity of substitution, and
μ ... we assume a constant interest rate, and hence the absence of intertemporal substitution, Eq ...
consider the growth rates of consumption and income, the logs of consumption and income ...
Cited by 16 - Related articles - All 6 versions

[PDF] Saving and growth with habit formation

[PDF] from jstor.org
CD Carroll, J Overland… - American Economic Review, 2000 - JSTOR
... In- deed, the intertemporal elasticity of substitution in consumption is defined as the response
of consumption growth to interest rates. Since the interest rate in this model is A - ., equation
(10) implies that the infinite-horizon intertem- poral elasticity of substitution in this model ...
Cited by 442 - Related articles - BL Direct - All 16 versions

Precautionary saving and precautionary wealth

[PDF] from unipv.it
CD Carroll… - The New Palgrave Dictionary of …, 2008 - works.bepress.com
... to break the usual equation ς = 1/ρ where ς is the elasticity of intertemporal substitution and ρ ...
given the basic properties ς > 0 and ρ > 0, a positive wealth elasticity of risk ... in each period, where
the fraction depends on the degree of impatience and intertemporal substitution (1/ρ). ...
Cited by 57 - Related articles - All 20 versions

An intertemporal international asset pricing model: Theory and empirical evidence

[PDF] from mcgill.ca
J Chang, V Errunza, K Hogan… - European Financial …, 2005 - Wiley Online Library
... It can also be shown that measures the elasticity of inter- temporal substitution. ... Based on equation
(5), we will follow Campbell (1993) to substitute consumption out of the pricing ... model with changing
variances.7 One of them is to set the elasticity of intertemporal substitution ¼ 1 ...
Cited by 18 - Related articles - SFX@cnb - All 20 versions

[PDF] Capital, interest, and aggregate intertemporal substitution during the 20th century

[PDF] from clemson.edu
CB Mulligan - Joint Invited Session in Econometrics and …, 2001 - hubcap.clemson.edu
... Third, capital tax incidence is one of the reasons why it is important to have a good estimate of
the aggregate intertemporal elasticity of substitution (IES), and using the capital tax data can
help us directly answer the ... 1991-95 1996- Page 16. Capital, Interest, and Substitution - 13 ...
Cited by 10 - Related articles - View as HTML

Consumption over the life cycle

[PDF] from jstor.org
PO Gourinchas… - Econometrica, 2002 - Wiley Online Library
... We further assume that the felicity function u is of the Constant Relative Risk Aversion (CRRA)
form, with intertemporal elasticity of substitution 1/, and multiplicatively separable in Z: ... Consumption
increases (respectively decreases) over time when the interest rate is larger ...
Cited by 923 - Related articles - SFX@cnb - BL Direct - All 36 versions

The long-run risks model and aggregate asset prices: an empirical assessment

[PDF] from bcrp.gob.pe
J Beeler, JY Campbell - 2009 - nber.org
... to be highly accu$ rate for reasonable values of the intertemporal elasticity of substitution, provided
that ... coeffi cients of 5, 10, and 15, and elasticities of intertemporal substitution of 0.5 ... of stock prices
in relation to dividends, if the elasticity of intertemporal substitution is greater ...
Cited by 55 - Related articles - All 15 versions

The government spending and private consumption: a panel cointegration analysis

[PDF] from umm.ac.id
T Ho - International Review of Economics & Finance, 2001 - Elsevier
... in productivity raises the real wage sufficiently, that there is a substitution away from ... β(1+r)] σ
C t *, where σ=−U′C*/{C*U (C*)} is the intertemporal elasticity of substitution. ... that the robustness
of the relationship between government spending and private consumption will be ...
Cited by 57 - Related articles - BL Direct - All 10 versions

Does the expansionary government spending crowd out the private consumption?:: Cointegration analysis in panel data

[PDF] from tku.edu.tw
CC Nieh… - The Quarterly Review of Economics and Finance, 2006 - Elsevier
... Second, this equation also allows us to estimate the inter-temporal elasticity of substitution
simultaneously; that is, 1 ... testable implications for (7), (a) If 1/α > ν/α, then C t and G t are
Edgeworth-Pareto complements, under which, the intertemporal elasticity of substitution is larger ...
Cited by 17 - Related articles - All 6 versions

Intertemporal Labor Supply and Human Capital Accumulation*

[PDF] from jstor.org
S Imai… - International Economic Review, 2004 - Wiley Online Library
... none of the parameters can be straightforwardly interpreted as describing the intertemporal
elasticity of substitution in labor ... the wage (R s K t ) times the marginal utility of consumption, which
is ... As the wage increases over the life cycle, the substitution effect induces labor supply ...
Cited by 173 - Related articles - SFX@cnb - BL Direct - All 22 versions

An empirical investigation of the effect of borrowing constraints on Spanish consumption

A Cutanda Tarín - Spanish Economic Review, 2003 - Springer
... Key words: Intertemporal substitution on consumption, permanent income, bor- rowing constraints ...
of relative risk aversion (ie, the inverse of the elasticity of intertemporal substitution). ... to accurately
estimate the parameter associated to the intertemporal elasticity of substitution. ...
Cited by 10 - Related articles - SFX@cnb - BL Direct - All 3 versions

The cross‐Euler equation approach to intertemporal substitution in import demand

SI Nishiyama - Journal of Applied Econometrics, 2005 - Wiley Online Library
... analysis in the context of LCPIM to estimate the intertemporal elasticity of substitution (IES) for ...
denoted MRS hereafter) or intertemporal marginal rate of substitution (denoted IMRS ... variables,
the log-linearized cross-Euler equation specifies the intertemporal optimality condition ...
Cited by 9 - Related articles - SFX@cnb - BL Direct - All 5 versions

A test for the presence of precautionary saving

M Kuehlwein - Economics letters, 1991 - Elsevier
... presence of precautionary saving 473 Table 1 Estimates of the elasticity of intertemporal
substitution, 1 A ... Mankiw, NG, 1985, Consumer durables and the real interest rate, Review of ... Zeldes,
S., 1989, Consumption and liquidity constraints: An empirical investigation, Journal of ...
Cited by 42 - Related articles - All 6 versions

[PDF] An estimate of the elasticity of intertemporal substitution in a production economy

[PDF] from abhatoo.net.ma
T Harashima - Economics Working Paper Archive EconWPA, 2005 - abhatoo.net.ma
... t t c c& and the output/capital ratio t t k y are given, the elasticity of intertemporal
substitution ρ can be estimated ... estimated without information on interest rates or returns
on assets. It implies that an ... consumption is │ ⌋ ⌉ │ ⌊ θn k A ψχρ c c ...
Cited by 4 - Related articles - View as HTML - All 8 versions

An empirical evaluation of the long-run risks model for asset prices

[PDF] from bcrp.gob.pe
R Bansal, D Kiku… - 2009 - nber.org
... coefficient of risk aversion, θ = 1−γ 1− 1 ψ , and ψ is the elasticity of intertemporal substitution
(IES). ... (4) where mt+1 is the log of the intertemporal marginal rate of substitution (IMRS), and
rj,t+1 ... is larger than one, the substitution effect dominates the wealth effect. ...
Cited by 38 - Related articles - All 11 versions

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[PDF] The reaction of household consumption to predictable changes in social security taxes

[PDF] from jstor.org
JA Parker - The American Economic Review, 1999 - JSTOR
... 3 is the discount factor; and Rt is the gross after-tax real interest rate between ... wheret+ l-ln(ct+
1) - Et[ln(ct+ )] and a is the intertemporal elasticity of substitution.6 If expectations ... equation (3)
is serially correlated within households due to time aver- aging of consumption over three ...
Cited by 243 - Related articles - BL Direct - All 16 versions

Financial liberalization and aggregate consumption: the evidence from Taiwan

VL Chan… - Applied Economics, 1997 - Taylor & Francis
... where ct = log Ct , s = 1/a represents the intertemporal elas- ticity of substitution and is ... Tables
3(a) and 3(b) present the regression results for non-durable consumption, where r is taken to
be the bank interest rate (rbt) in Table 3(a) and the private interest rate (rpt) in Table 3 ...
Cited by 11 - Related articles - SFX@cnb - BL Direct - All 9 versions

Capital mobility in developing countries: some measurement issues and empirical estimates

[PDF] from jstor.org
PJ Montiel - The World Bank Economic Review, 1994 - World Bank
... This is likely to increase the elasticity of base money demand, implying that the infla- tionary
consequences of a ... For domestic residents, the Euler equation for optimal intertemporal con-
sumption plans is ... and the equality of the expected marginal rates of substitution becomes ...
Cited by 239 - Related articles - SFX@cnb - BL Direct - All 14 versions

[PDF] Dependency rates and private savings behavior in developing countries

[PDF] from jstor.org
N Rossi - Staff Papers-International Monetary Fund, 1989 - JSTOR
... rates and the growth rate of consumption provides information on the intertemporal elasticity
of substitution. ... other things being equal, on the real interest rate elasticity of consumption. ... the
findings here with the estimates of the degree of intertemporal substitution provided in ...
Cited by 25 - Related articles - All 7 versions

Estimating the substitutability between private and public consumption: the case of Spain, 1960–2003

[PDF] from unirioja.es
V Esteve… - Applied Economics, 2005 - Taylor & Francis
... residuals and endogeneity bias arising from innovations in the relative price to innovations in
consumption. ... These parameter estimates imply that the value of the intratemporal elasticity of
substitution, , is 0.46 ... GMM estimation: the intertemporal elasticity of substitution parameter. ...
Cited by 11 - Related articles - SFX@cnb - BL Direct - All 20 versions

Asset pricing with heterogeneous consumers and limited participation: Empirical evidence

[PDF] from cenet.org.cn
A Brav, GM Constantinides… - 2002 - nber.org
... interest is consistently too high, about 4%, as opposed to the observed 1% in US data. ... The
individual household's marginal rate of substitution is calculated by raising the individual
household's consumption growth to a power equal to the negative of the RRA coefficient. ...
Cited by 300 - Related articles - BL Direct - All 35 versions

Intertemporal choice and the cross-sectional variance of marginal utility

[PDF] from jstor.org
OP Attanasio… - Review of Economics and Statistics, 2001 - MIT Press
... equation is ln ci,t 1 ln ci,t (r ), where is the intertem- poral rate of substitution. ... where is the elasticity
of intertemporal substitution, ˜i,t 1 is an expectational error, and ˜ i,t 1 is the ... 4 For instance, if the
interest rate is constant and consumption growth is normally distributed, this term ...
Cited by 20 - Related articles - SFX@cnb - BL Direct - All 21 versions

An empirical investigation into the permanent income hypothesis: further evidence from the Canadian data

TS Wirjanto - Applied Economics, 1996 - Taylor & Francis
... Therefore, the estimating equa- tions involve ratios of forcing variables (except the real interest
rate which is in levels ... This model has four free parameters: the fraction of current-income
consumption (u ), the intertemporal elasticity of substitution (IES) in consumption (s ), the ...
Cited by 10 - Related articles - SFX@cnb - BL Direct - All 8 versions

Precautionary saving and consumption fluctuations

[PDF] from espol.edu.ec
J Parker… - 2002 - nber.org
... i,t), AB = (δL+1, δL+2, . . ., δK)/, and σ denotes the (constant) intertemporal elasticity of substitution. ...
substitution due to variations in preferences (AlnCδ t+1); intertemporal substitution in response
to ... ment in average consumption, which we call misspecification and denote AlnCθ ...
Cited by 56 - Related articles - BL Direct - All 26 versions

Real interest rates and macroeconomic activity

MP Taylor - Oxford Review of Economic Policy, 1999 - Oxford Univ Press
... to the subjective rate of time preference, or an intertemporal elasticity of substitution of zero ... and
the real interest rate, representing the pure substitution effect discussed ... plausible assumptions
they show that the estimate of the elasticity of intertemporal substitution is downward ...
Cited by 34 - Related articles - SFX@cnb - BL Direct - All 7 versions

[PDF] Consumer behaviour: theory and empirical evidence--A survey

[PDF] from jstor.org
R Blundell - The Economic Journal, 1988 - JSTOR
... p5) represents the true price index for group s. For example, in the intertemporal allocation
problem ... of the level of y8, guaranteeing a unitary income or expenditure elasticity (O ln ... least
because the second order price derivatives give the constant utility 'Slutsky' substitution effects ...
Cited by 307 - Related articles - All 15 versions

Asset prices, consumption, and the business cycle

[PDF] from 141.217.212.112
JY Campbell - 1998 - nber.org
... ôU'(Ck,t+i)IU'(Ct) is the intertemporal marginal rate of substitution of the ... but breaks the tight link
between the coefficient of relative risk aversion and the elasticity of intertemporal substitution. ...
returns when consumption is low, that is, when the marginal utility of consumption is high ...
Cited by 545 - Related articles - BL Direct - All 12 versions

[PDF] Anticipated and unanticipated wage changes, wage risk, and intertemporal labor supply

[PDF] from stanford.edu
L Pistaferri - Journal of Labor Economics, 2003 - stanford.edu
... Lucas and Rapping (1969) suggested that a large intertemporal substitution in labor supply could
potentially ... to obtain Frisch (or l-constant) demand functions; in this context, consumption and
hours of ... The parameter h is the intertemporal elasticity of substitution for labor supply. ...
Cited by 75 - Related articles - View as HTML - SFX@cnb - BL Direct - All 12 versions

The Elasticity of Marginal Utility of Consumption: Estimates for 20 OECD Countries*

DJ Evans - Fiscal studies, 2005 - Wiley Online Library
... (a) Lifetime consumption behaviour The interpretation of e as the reciprocal of the intertemporal
elasticity of substitution in consumption ... are imposed on the utility function – does not apply in
this intertemporal context. ... Furthermore, if utility functions are typically iso-elastic, then ...
Cited by 61 - Related articles - SFX@cnb - All 5 versions

Consumption, habit formation, and precautionary saving: evidence from the British Household Panel Survey

A Guariglia… - Oxford Economic Papers, 2002 - Oxford Univ Press
... A more realistic utility function would exhibit a constant elasticity of intertem- poral substitution. ...
The agent has preferences characterised by a constant elasticity of intertemporal substitution
equal to 1 ... likely to affect the estimate of because of measurement error in consumption. ...
Cited by 59 - Related articles - SFX@cnb - BL Direct - All 13 versions

Asset pricing models with and without consumption data: An empirical evaluation

GA Hardouvelis, D Kim… - Journal of Empirical Finance, 1996 - Elsevier
... 1 0) + 0 o" = y, while the elasticity of 3 When the elasticity of intertemporal substitution, or, equals
1 ... Journal of Empirical Finance 3 (1996) 267301 271 intertemporal substitution, o, is the ratio of
one ... by the coefficient on the consumption factor, 0 o. If reliable consumption data exist ...
Cited by 14 - Related articles - BL Direct - All 9 versions

[PDF] The time series consumption function revisited

[PDF] from jstor.org
AS Blinder, A Deaton, RE Hall… - Brookings Papers on …, 1985 - JSTOR
... time discount rate, and uses the observed growth rate to estimate the intertemporal elasticity
of substitution. ... 233-45; and Gerald Carlino, "Interest Rate Effects and Intertemporal Con- sumption ...
after-tax real interest rate made inferences about the interest elasticity of consumption ...
Cited by 335 - Related articles - All 6 versions

Measuring the life-cycle consumption costs of children

J Banks, R Blundell… - The measurement of Household …, 1994 - books.google.com
... period for households at points along different paths that are consistent with inter- temporal
reallocation of ... Period by period needs outweigh intertemporal substitution. ... 3) in table 8.1, which
is to say using a base-period reference elasticity of intertemporal substitution of-0.68. ...
Cited by 10 - Related articles - All 5 versions

[PDF] Testing the Life Cycle Model of Consumption: What Can We Learn From Micro and Macro Data?"

[PDF] from funep.es
O Attanasio… - Investigaciones Económicas, 1994 - funep.es
... In this case the elasticity of intertemporal substitution is not constant. 5 See, for instance,
Hall (1988). ... The problem becomes even more serious if the elasticity of substitution is
not constant but a function of various demographic variables. ...
Cited by 22 - Related articles - All 11 versions

Cointegration, government spending and private consumption: evidence from Japan

TW Ho - Japanese economic review, 2004 - Wiley Online Library
... function 1/α and 1/ν are interpreted as, respectively, the intertemporal elasticity of substitution
for private ... The estimate ν/α is defined as the intratemporal substitution of elasticity between private ...
α and ν are 0.942 and 0.811, respectively, implying that intertemporal elasticities of ...
Cited by 7 - Related articles - SFX@cnb - BL Direct - All 8 versions

Estimating intertemporal allocation parameters using synthetic residual estimation

[PDF] from cam.ac.uk
S Alan… - Review of Economic Studies, 2010 - Wiley Online Library
... between periods t and t + 1. In this framework, the elasticity of intertemporal substitution (eis)
is ... we propose an alternative approach to estimating the parameters of intertemporal allocation. ...
Assuming exponential discounting and an iso-elastic felicity function, this gives the Euler ...
Cited by 17 - Related articles - SFX@cnb - All 22 versions

Risks for the long run and the real exchange rate

[PDF] from unc.edu
R Colacito… - 2005 Meeting Papers, 2005 - papers.ssrn.com
... substitution (IMRS) with respect to each good are equalized and therefore perfectly ... is held by
a small fraction of the population with a high elasticity of intertemporal substitution. Attanasio
and Weber (1989) documents an intertemporal elasticity of substitution in excess of one in ...
Cited by 68 - Related articles - All 32 versions

[PDF] On the aggregation of Euler Equations for consumption in simple overlapping-generations models

[PDF] from jstor.org
OP Attanasio… - Economica, 1995 - JSTOR
... that, even for relatively small deviations from unit elasticity of substitution between labour ... one
gets using aggregate consumption data to estimate the elasticity of intertemporal substitution
is less ... in this table were obtained using the arithmetic mean as aggregate consumption. ...
Cited by 6 - Related articles - BL Direct - All 10 versions

Intertemporal substitution in war and peace: Evidence from the United Kingdom, 1830-1990

[PDF] from seor.nl
HP Van Dalen - Journal of Macroeconomics, 1995 - Elsevier
... present estimates of individual value of public consumption and the inter temporal substitution
elasticity by means of ... the aggregate consumption bundle, and l or is the elasticity of intertemporal
substitution in aggregate ... "The Intertemporal Elasticity of Substitution in Consumption ...
Cited by 6 - Related articles - BL Direct - All 13 versions

[PDF] Measuring the intertemporal elasticity of substitution for consumption: some evidence from Japan

[PDF] from accessecon.com
A Noda… - Economics Bulletin, 2010 - accessecon.com
... Many empirical studies still have an interest in the appropriate value of IES (see, for example,
Oshio and Kobayashi (2009)). ... (1996): “Consumption Growth and the Intertemporal Elasticity of
Substitution: Some Evidence from Income Quintile Groups in Japan,” Applied ...
Cited by 3 - Related articles - View as HTML - All 6 versions

Smooth it Like the 'Joneses'? Estimating Peer‐Group Effects in Intertemporal Consumption Choice*

[PDF] from uni-mannheim.de
J Maurer… - The Economic Journal, 2008 - Wiley Online Library
... This effect operates in addition to any direct intertemporal substitution motive (as determined ... in
the household, whereas one additional child increases consumption growth by ... The intertemporal
elasticity of substitution σ appears relatively small, taking a value between 0.06 and ...
Cited by 19 - Related articles - SFX@cnb - BL Direct - All 18 versions

CONSUMPTION SPENDING AND THE PAPER‐BILL SPREAD: THEORY AND EVIDENCE

CE Weber - Economic Inquiry, 1998 - Wiley Online Library
... Thus, in the context of the intertemporal optimizing model developed here, it is possible that once
the current spread and the private real interest rate are included in the model of ... 12. I/( 1 -a) can
be interpreted as a structural inter- temporal elasticity of substitution, since I - a is ...
Cited by 12 - Related articles - SFX@cnb - BL Direct - All 9 versions

Consumption and the means of payment: an empirical analysis for the United Kingdom

[PDF] from jstor.org
J Dutta… - Economica, 2001 - Wiley Online Library
... The estimated elasticity of substitution is large. ... problem is separable, and can be decomposed
into an atemporal portfolio problem and inter- temporal consumption smoothing. ... expected changes
to the cost of transactions as well as the usual intertemporal substitution effects. ...
Cited by 5 - Related articles - SFX@cnb - BL Direct - All 12 versions

Exploring consumption-based asset pricing model with stochastic-trend forcing processes

TS Wirjanto - Applied Economics, 2004 - Taylor & Francis
... The point estimates of the parameter γ fall in a slightly larger range of [0.693, 0.706] and imply
that estimates of the intertemporal elasticity of substitution fall in the ... is determined by the relative
magnitude of the intertemporal and intraperiod elasticities of substitution. ...
Cited by 6 - Related articles - SFX@cnb - BL Direct - All 6 versions

[PDF] Seasonality and consumption-based asset pricing

[PDF] from jstor.org
WE Ferson, CR Harvey - Journal of Finance, 1992 - JSTOR
... consumption model implies that any real return Rt+1 multiplied by an intertemporal marginal
rate ... equations place inequality restrictions on the mean and variance of the marginal rate of
substitution. ... l and M2, t+l are functions of lagged and future consumption expenditures and ...
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[PDF] Aggregate consumption behaviour and liquidity constraints: the Canadian evidence

[PDF] from jstor.org
TS Wirjanto - Canadian Journal of Economics, 1995 - JSTOR
... Empirically, liquidity constraints are found to be important, and the estimated intertemporal
elasticity of substitution parameter is much larger ... If this group of consumers has a constant elasticity
substitution utility function with an IES a, and ... Aggregate consumption behaviour 1145 ...
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Liquidity constraints and aggregate consumption behavior

MJ Cushing - Economic Inquiry, 1992 - Wiley Online Library
... restriction fol- lows in the special case of constant real rates of interest and non ... consumers are
liquidity constrained, changes in taxes or transfers will alter the intertemporal be- havior ... equation
re- strictions on the system of equations gen- erating changes in consumption and in ...
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Habit Persistence, Nonseparability between Consumption and Leisure, or Rule-of-Thumb Consumers: Which Accounts for the Predictability of Consumption Growth?

[PDF] from federalreserve.gov
MT Kiley - The Review of Economics and Statistics, 2010 - MIT Press
... dimensional objects, the parameter s (the intertemporal elas- ticity of substitution) is set ... and Miles
Kimball, “Long-Run Labor Supply and the Elasticity of Intertemporal Substitution for Consumption ...
is converted to real values by dividing by the personal consumption expen- diture ...
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Geographic poverty traps? A micro model of consumption growth in rural China

[PDF] from ophi.org.uk
J Jalan… - Journal of Applied Econometrics, 2002 - Wiley Online Library
... (1). where σ is the intertemporal elasticity of substitution, C is consumption, and ρ is the subjective
rate of ... product of own capital; these may also influence the rates of intertemporal substitution
and/or ... of the model in Section 2. The time preference rate and elasticity of substitution ...
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Monetary policy inertia: More a fiction than a fact?

[PDF] from unibocconi.it
A Consolo… - Journal of Monetary Economics, 2009 - Elsevier
... a consequence of the lags with which monetary policy normally operates, interest rate rules ...
problem is different on the relevant variables the optimalspecification of the Euler equation for
estimation is ... therefore it is not instrumented, then a much lower value estimate of monetary ...
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[PDF] Euler equations and durable goods

[PDF] from csef.it
M Padula - Centre for Studies in Economics and Finance Working …, 1999 - csef.it
... As shown by Browning [8] in a multi-goods model, the intertemporal elasticity of substitution is
defined as ... the full set of parameters, I need also the within-period marginal rate of substitution. ...
of using the durable goods as a collateral make the intertemporal allocation condition ...
Cited by 7 - Related articles - View as HTML - All 8 versions

Consumption and portfolio choice over the life cycle

[PDF] from jstor.org
JF Cocco, FJ Gomes… - Review of financial …, 2005 - Soc Financial Studies
... Clearly, this future retirement income acts as a substitute for risk-free asset holdings and induces ...
In this section we solve for the optimal portfolio and consumption rules for some of ... Parameters
of interest are the variance of the temporary and permanent shocks to labor income ...
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[PDF] Testing the permanent income hypothesis: the evidence from Canadian data

[PDF] from jstor.org
TS Wirjanto - Canadian Journal of Economics, 1991 - JSTOR
... These findings also indicate that the intertemporal elasticity of substitution is very close to
zero.11 The random ... in all other goods will be correlated with the expected changes in consumption
of non ... it can be shown that under the assumption of a constant real interest rate the ...
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[PDF] The term structure of interest rates: departures from time-separable expected utility

[PDF] from jstor.org
AW Gregory… - Canadian Journal of Economics, 1991 - JSTOR
... factor, a > 0 is the constant measure of relative risk aversion, and p > 0 is the inverse of the
elasticity of intertemporal substitution. ... If a = p, then equation (10) collapses to the standard
expected utility specification with constant elasticity of substitution (CES) preferences. ...
Cited by 12 - Related articles - All 7 versions

[PDF] Self-control and saving for retirement

[PDF] from jstor.org
DI Laibson, A Repetto, J Tobacman, RE Hall… - Brookings Papers on …, 1998 - JSTOR
... Intrapersonal games involve much greater analytic complexity than analogous nonstrategic
intertemporal maximization, and this ... because they think that future selves will act in the interest
of the ... economic life begins at twenty and do not model consumption decisions before this ...
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On the intertemporal elasticity of substitution under nonhomothetic utility

M Okubo - Journal of Money, Credit and Banking, 2008 - Wiley Online Library
... nondurable and durable goods into a model with homotheticity of preferences yields a more
plausible estimate of the intertemporal elasticity of substitution (IES) in ... That is, the elasticity of
substitution ε accounts for the role of durable goods in intertemporal substitution in that ...
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Intertemporal substitution in labor supply: Micro evidence from rural India

E Skoufias - Journal of Development Economics, 1996 - Elsevier
... In this formulation, the own-wage intertemporal elasticity of substitution (IES) for females, for
example ... Although not significant, the positive own-wage elasticity estimates in large- as well ... may
be primarily responsible for the rejection of the intertemporal substitution hypothesis for ...
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Risk pooling, precautionary saving and consumption growth

[PDF] from jstor.org
J Banks, R Blundell… - The Review of …, 2001 - restud.oxfordjournals.org
... non-standard case where the link is broken between the elasticity of substitution and individuals ...
where p is the intertemporal elasticity and where the preference parameter <Pt will be allowed ...
the increasing variance of income and the increasing variance of consumption in the ...
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[PDF] Are our data relevant to the theory? The case of aggregate consumption

[PDF] from jstor.org
DT Slesnick - Journal of Business & Economic Statistics, 1998 - JSTOR
... of income and consump- tion, Hall's (1988) estimate of the intertemporal elasticity of substitution
using (1.4 ... a group of individuals who pool their resources to make joint consumption decisions
or ... to measure housing con- sumption instead of the principle, interest, insurance, and ...
Cited by 32 - Related articles - BL Direct - All 5 versions

[PDF] The demand for money: A structural econometric investigation

[PDF] from jstor.org
DH Dutkowsky… - Southern Economic Journal, 2001 - JSTOR
... consumption and import demand, and Atkeson and Ogaki (1996) with the intertemporal elasticity
of substitution. ... Estimates of the long-run elasticity of substitution between consumption and money ...
The intertemporal optimization problem here differs in several ways from earlier ...
Cited by 17 - Related articles - BL Direct - All 7 versions

[PDF] Noisy Addicts? Estimation of Optimal Consumption Choice with Habit Formation and Measurement Error

[PDF] from iza.org
WR Gayle… - 2009 - iza.org
... Section 6 examines the implications for the relative risk aversion and intertemporal elasticity of
substitution. Section 7 concludes. 2 Theoretical Framework ... substitute in the identity for observed
consumption in terms of true consumption and measurement error as stated above. ...
Cited by 4 - Related articles - View as HTML - All 3 versions

An empirical study of the 'rule of thumb'consumption model in five East Asian countries

YL Chyi… - Applied Economics, 1997 - Taylor & Francis
... which measures the intertemporal elasticity of substitution in con- sumption. ... Interest rates employed
in this study are obtained from various sources and generally for different financial ... Page 5. The
'rule of thumb' consumption model Table 1. Cross-country evidence, Ac, = p + IAy, ...
Cited by 6 - Related articles - SFX@cnb - BL Direct - All 9 versions

[PDF] Estimating intertemporal allocation parameters using simulated residual estimation

[PDF] from ku.dk
S Alan… - Institute of Economics, University of Copenhagen …, 2003 - econ.ku.dk
... Interest usually centres on the inverse of this parameter, the elasticity of intertemporal substitution
(EIS ): ... Low values of the EIS indicate an aversion to fluctuating consumption streams.1 For the
iso0elastic case with exponential discounting the only other preference parameter ...
Cited by 23 - Related articles - View as HTML - All 12 versions

[PDF] Does financial deregulation cause a consumption boom?

[PDF] from jstor.org
J Agell… - The Scandinavian Journal of Economics, 1996 - JSTOR
... effects from financial liberalisation can account for a large part of observed changes in the
intertemporal consumption pattern of ... presence of a constant real interest rate. ... for the sample period
1952-89, ie, we quite deliberately exclude observations from the consumption bust of ...
Cited by 23 - Related articles - BL Direct - All 5 versions

Long‐Run Stockholder Consumption Risk and Asset Returns

[PDF] from hbs.edu
CJ Malloy, TJ Moskowitz… - The Journal of …, 2009 - Wiley Online Library
... B. Euler Equations for an Elasticity of Intertemporal Substitution ≠ 1. ... H g t is the number of
households in group g in quarter t. We then substitute the average ... on a constant term and the
covariances of log excess returns on the portfolios and discounted consumption growth over ...
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The response of consumption to income: a cross-country investigation

[PDF] from harvard.edu
JY Campbell… - European Economic Review, 1991 - Elsevier
... 730 JY Ciimphrll timl NG Mankiw, The response of consumption to income intertemporal elasticity
of substitution. ... in table 2. In every country except Japan, the forecasts of consumption growth
and ... well-defined linear relationship.21 Table 3 adds the short-term real interest rate to ...
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[PDF] A model of housing in the presence of adjustment costs: A structural interpretation of habit persistence

[PDF] from jstor.org
M Flavin… - The American Economic Review, 2008 - JSTOR
... mines both risk aversion and the elasticity of intertemporal substitution (EIS ... When the utility function
is generalized to depend on two goods, we can still characterize the household's willingness
to substitute one of the goods (for example, nondurable consumption)across time ...
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Rational asset prices

[PDF] from cenet.org.cn
GM Constantinides - 2002 - nber.org
... their marginal rate of substitution. The equilibrium in a heterogeneous-household, full- ... with equity
returns. Habit persistence lowers the intertemporal elasticity of substitution in ... Therefore, given
the risk aversion, habit persistence lowers the elasticity and raises the ...
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Saving and real interest rates in Brazil

[PDF] from fgv.br
DL Gleizer - Brazilian Review of Econometrics, 1991 - bibliotecadigital.fgv.br
... savings function approach and then address the issue of intertemporal substitution in consumption ...
The standard saving function employed in the studies of interest elasticity in the ... external savings
decreases domestic savings and that there is a substitution relationship between ...
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[PDF] Housing, Household Portfolio, and Intertemporal Elasticity of Substitution

[PDF] from abhatoo.net.ma
F Hasanov - 2007 - abhatoo.net.ma
... (1989) found positive but small in magnitude intertemporal elasticity of substitution. Campbell ...
for housing in the household portfolio is important for the household's intertemporal ... assume a
simple constant elasticity of substitution (CES) model of consumer behavior thus ...
Cited by 2 - Related articles - View as HTML - All 5 versions

[PDF] Shocks, stocks and socks: consumption smoothing and the replacement of durables during an unemployment spell

[PDF] from mcmaster.ca
M Browning… - Canadian International Labour Network …, 1999 - ciln.mcmaster.ca
... interest rate for good i (between periods t-1 and t). The intertemporal substitution elasticity for
good i ... one good ('consumption') then this is the conventional definition for the elasticity of
intertemporal substitution (the numerator is the change in consumption growth and ...
Cited by 58 - Related articles - View as HTML - All 10 versions

Intertemporal consumption with directly measured welfare functions and subjective expectations

[HTML] from nih.gov
A Kapteyn, KJ Kleinjans… - Journal of economic behavior & …, 2009 - Elsevier
... Furthermore, estimates of the intertemporal elasticity of substitution based on the estimated welfare
functions are plausible and of a similar order of ... and to analyze the sensitivity of saving and
consumption to the interest rate (ie, the intertemporal rate of substitution). ...
Cited by 3 - Related articles - SFX@cnb - All 15 versions

Can output explain the predictability and volatility of stock returns?

[PDF] from uc3m.es
R Rodríguez, F Restoy… - Journal of International Money and …, 2002 - Elsevier
... substitution , the coefficient that governs the value of the model-derived volatility is unambiguously
the inverse of the elasticity of intertemporal substitution. To the extent that, unlike in the case of
risk aversion, a high aversion to intertemporal substitution of consumption is not ...
Cited by 26 - Related articles - BL Direct - All 15 versions

Optimal Life‐Cycle Asset Allocation: Understanding the Empirical Evidence

[PDF] from jstor.org
F Gomes… - The Journal of Finance, 2005 - Wiley Online Library
... Zin preferences, which allows us to separate risk aversion from the elasticity of intertemporal
substitution (EIS). ... Once we have solved for the policy functions, we can substitute those in the ...
Once we have these distributions, the unconditional mean consumption for age t can then ...
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Inflation and the Euler equation approach to consumption behaviour* 1:: Some empirical evidence

E Koskela… - Economics Letters, 1987 - Elsevier
... real rate of interest, ao 0, a1 = a = the elasticity of intertemporal substitution, v, = ct Et 1 ... Mankiw,
NG, JJ Rotemberg and LH Summers, 1985, Intertemporal substitution in macroeconomics,
Quarterly ... Muellbauer, J., 1983, Surprises in the consumption function, Economic Journal 93 ...
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Costly portfolio adjustment

[PDF] from eui.eu
Y Bonaparte… - 2009 - nber.org
... For this specification, our estimate of risk aversion is the inverse of the elasticity of intertemporal
substitution. We estimate the preference parameters γ, along with the trading cost ψ and ... the
sensitivity of consumption growth to interest rate movements. This motivates our study ...
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Imputing consumption in the PSID using food demand estimates from the CEX

[PDF] from ucl.ac.uk
R Blundell, L Pistaferri… - 2004 - discovery.ucl.ac.uk
... (1986) and Hotz, Kydland and Sedlacek (1988) for tests of intertemporal substitution in labor ...
estimate structural parameters such as the elasticity of intertemporal substitution or the extent
of ... Importantly we also allow the budget elasticity to shift with observable household ...
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[PDF] Reconciling consumer confidence and permanent income consumption

[PDF] from holycross.edu
KH McIntyre - Eastern Economic Journal, 2007 - college.holycross.edu
... In contrast, including consumer confidence has significant implications for intertemporal
substitution: adding consumer confidence substantially decreases estimates of the intertemporal
elasticity of ... where 1/σ is the intertemporal elasticity of substitution in consumption, a key ...
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Labor supply response in macroeconomic models: Assessing the empirical validity of the intertemporal labor supply response from a stochastic overlapping …

[PDF] from uni-muenchen.de
J Contreras… - 2008 - mpra.ub.uni-muenchen.de
... 9Fehr and Götte (2007) estimate an intertemporal elasticity of substitution of about 1.1 by using
a unique data ... Bc is the elasticity of intertemporal substitution of consumption (EIS consumption ...
intertemporal elasticity (response to anticipated and to unanticipated changes in wages ...
Cited by 4 - Related articles - All 13 versions

The retirement consumption puzzle: evidence from a regression discontinuity approach

[PDF] from 134.245.92.14
E Battistin, A Brugiavini, E Rettore… - The American …, 2009 - ingentaconnect.com
... at S = 0+, so any discontinuity detected in the outcome of interest (consumption) may signal ... that
the standard Euler equation, in which consumption growth is a function of intertemporal prices
and ... However, in Blau's model the causal effect of retirement on consumption is zero. ...
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Elasticity of intertemporal substitution in consumption: an empirical evidence from a natural experiment

[PDF] from upenn.edu
M Kapour… - 2010 - papers.ssrn.com
... Zin and Weil Euler equation which is derived from the inter-temporal optimization problem ... is that
it allows for the separation between the elasticity of intertemporal substitution and risk ... next goal
is to derive the value of σ, the intertemporal elasticity of substitution in consumption. ...
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Estimating intertemporal and intratemporal substitutions when both income and substitution effects are present: the role of durable goods

[PDF] from cmu.edu
M Pakoš - Journal of Business and Economic Statistics, 2011 - ASA
... σ > 0 is a (biased under nonhomoth- eticity) measure of the elasticity of intertemporal substitution
(EIS ... not negligible, and thus affects the estimates of both the intratemporal and intertemporal
substitu- tions. ... on the homothetic case η = 1, in which the true elasticity of intratemporal ...
Cited by 3 - Related articles - SFX@cnb - All 10 versions

Is there a daily discount rate? Evidence from the food stamp nutrition cycle

[PDF] from aiecon.org
JM Shapiro - Journal of Public Economics, 2005 - Elsevier
... is larger than that observed for caloric intake, reflecting substitution towards lower ... CSFII—both
reveal a statistically significant decline in food consumption over the ... of the intertemporal elasticity
of demand for calories, sometimes called the elasticity of intertemporal substitution. ...
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[PDF] Government spending and consumer attitudes toward risk, time preference, and intertemporal substitution: an econometric analysis

[PDF] from jstor.org
D Hatzinikolaou… - Southern Economic Journal, 1995 - JSTOR
... the risk premium, the time preference, and the elasticity of intertemporal substitution in
consumption. ... expenditure are positively correlated with shocks to private consumption, but
uncorrelated ... however, has no effect on time preference and intertemporal substitution, whereas ...
Cited by 2 - Related articles - BL Direct - All 4 versions

[PDF] Estimating Life-Cycle Parameters from the Retirement-Consumption Puzzle

[PDF] from psu.edu
J Laitner… - 2004 - Citeseer
... and sign, of the consumption change can pin down the elasticity of intertemporal substitution. ...
α, the change in consumption at retirement identifies the intertemporal elasticity of substitution
parameter γ. ... at retirement grows larger as the taste for intertemporal smoothing increases ...
Cited by 2 - Related articles - View as HTML - All 6 versions

Stock market mean reversion and the optimal equity allocation of a long-lived investor

[PDF] from harvard.edu
JY Campbell, J Cocco, F Gomes… - European Finance …, 2001 - rof.oxfordjournals.org
... Euler equations and the intertemporal budget constraint around the exact solution that applies
if the inter- temporal elasticity of substitution ... The elasticity of intertemporal substitution matters
because changing expected returns have opposing income and substitution effects ...
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Liquidity constraint, uncertainty and household consumption in China

Y Zhang… - Applied Economics, 2004 - Taylor & Francis
... of consumption growth to interest rate changes depends on the value of σ, the intertemporal
elasticity of substitution. ... σ, modest rises in the interest rate may generate a positive substitution
effect large ... An empirical study of the 'rule of thumb' consumption model in five East Asian ...
Cited by 12 - Related articles - SFX@cnb - BL Direct - All 7 versions

The Harberger-Laursen-Metzler Effect Revisited

[PDF] from unirioja.es
T Duncan - Documentos de Trabajo (Banco Central de Chile), 2003 - dialnet.unirioja.es
... and McDermott (1998), the intertemporal and intratemporal elasticities of substitution affects the
extent of the HLME. On one hand, the intertemporal elasticity of substitution σ measures ... return.
Larger values of this coefficient imply larger reactions to movements in intertemporal ...
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[PDF] Risk and Seasonality in an Empirical Model of ihe Farm Household

[PDF] from jed.or.kr
E Skoufias - Journal of Economic Development, 1994 - jed.or.kr
... The empirical results suggest significant intertemporal substitution in the labor supply of females
although no ... of wealth of household i in period t, ßk is the inter- temporal substitution elasticity
of labor ... context of the seasonal model considered here, ßk is the elasticity relevant for ...
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[PDF] Risks for the long run: Estimation and inference

[PDF] from nber.org
R Bansal, D Kiku… - Manuscript, Duke University, 2007 - nber.org
... Marginal Rate of Substitution (IMRS), mt+1, is mt+1 = θ log δ − θ ψ ∆ct+1 + (θ − 1)rc,t+1, (5) 4
Page 6. ... As the elasticity of intertemporal substitution decreases to 0.5, the ... e,j ≡ Cov(ea t+1,ua
r,j,t+1) Var(ea t+1) , while the exposure of asset returns to transient risks in consumption is ...
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Modelling consumption: permanent-income or rule-of-thumb behaviour?

[PDF] from 110mb.com
D Hatzinikolaou - Economic Modelling, 1999 - Elsevier
... Y;) + e,, (3) where r, is a real interest rate and в is the elasticity of intertemporal substitution. ...
spending and consumer attitudes toward risk, time preference, and intertemporal substitution:
an econometric ... Consumption and capital market imperfections: an international comparison ...
Cited by 4 - Related articles - BL Direct - All 8 versions

Consumption and saving: models of intertemporal allocation and their implications for public policy

[PDF] from carloscuerpo.com
OP Attanasio… - 2010 - nber.org
... intertemporal budget constraint implicitly assumes a certain market structure and the ... recursive
substitution, one gets that log consumption is given by the sum of innovations from ... cross sectional
data or longitudinal data, one can follow the evolution of consumption inequality for ...
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[PDF] A consumption CAPM with a reference level

[PDF] from psu.edu
R Garcia, É Renault… - manuscript, University of Montreal, …, 2005 - Citeseer
... then quite naturally ρ = 1 − ϕ, with the elasticity of intertemporal substitution σ = 1 1-p . ... this
specification offers potentially a natural disentangling between risk aversion and intertemporal
substitution. ... according to the habit formation approach, the reference consumption level St ...
Cited by 19 - Related articles - View as HTML - All 11 versions

Efficient estimation of linear asset pricing models with moving-average errors

LP Hansen… - 1997 - nber.org
... model is the intertemporal elasticity of substitution and not the coefficient of relative risk
aversion. ... An implication of a large class of intertemporal asset pricing models is ... t. The
parameter -y governs intertenporal substitution of consumption, with ...
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The Estimation of Single Equation Rational Expectations Models: An Application to UK Consumption

D Robertson… - Oxford Bulletin of Economics and …, 1993 - Wiley Online Library
... The results suggest that the inter- temporal elasticity is statistically different from zero, but ... a more
noticeable change in significance levels for the intertemporal elasticity of substitution for
consumption ... 'Intertemporal Substitution in Consumption', Journal of Political Economy, Vol. ...
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Traded goods consumption smoothing and the random walk behavior of the real exchange rate

[PDF] from mecon.gov.ar
K Rogoff - 1992 - nber.org
... t consumption of good I; r is the inverse of the elasticity of inter-temporal substitution. ... would hold
under the assumption that y = 1, so that the intertemporal elasticity of substitution equals one. ...
g and a follow random walks {ip = 1) or the elasticity of intertemporal substitution (1/7 ...
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On-the-job human capital investment and intertemporal substitution: New evidence on intertemporal substitution elasticity

CI Lee - Journal of Economic Dynamics and Control, 2008 - Elsevier
... spent investing in human capital does not permit micro-empirical studies on intertemporal
substitution of the ... MathML source View the MathML source where c t is the consumption at time
t ... to year t-1), β is the parameter for the intertemporal elasticity of substitution (henceforth, IES ...
Cited by 6 - Related articles - All 5 versions

[PDF] Consumption, income, and international capital market integration

[PDF] from jstor.org
T Bayoumi… - Staff Papers-International Monetary Fund, 1995 - JSTOR
... at t- 1, 3 is a subjective discount factor, C is the intertemporal elasticity of substitution, and R ... of
the assumptions that capital markets are integrated and that rates of intertemporal substitution
are equal ... income that is used to control for the effect of domestic income on consumption. ...
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The Intertemporal Elasticity of Substitution: An Analysis Based on Japanese Data

[PDF] from tsukuba.ac.jp
M Okubo - Economica, 2011 - Wiley Online Library
... operator conditional on the information available at time t, σ>0 is the intertemporal elasticity of
substitution (IES), and u(t ... of a durable good in period t, and ɛ>0 is the elasticity of substitution ...
first-order condition that the user cost equals the marginal rate of substitution between the ...
Cited by 1 - Related articles - SFX@cnb - All 12 versions

A theory of time preference

[PDF] from uoregon.edu
PA Trostel… - Economic Inquiry, 2001 - freepatentsonline.com
... Although there is clearly some room for such substitution, its scope seems limited. ... Model (3)
uses consumption dated concurrently with the survey year. ... [29] The estimated intertemporal
elasticity of substitution is 0.88 and is marginally statistically significant. ...
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[PDF] Testing between competing models of real business cycles

[PDF] from jstor.org
H Osano… - International Economic Review, 1991 - JSTOR
... and labor supply: (1 - a) -1 and (,/ - 1)-1 represent the elasticity of intertemporal substitution in
consumption and ... term, 6 is the rate of technical progress, o- is the substitution rate between ... are
inadequate for our purpose because we must use a quarterly consumption data series ...
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Measuring intertemporal substitution: The role of durable goods

[PDF] from uni-muenchen.de
C Reinhart… - 1995 - mpra.ub.uni-muenchen.de
... We assume that the Constant Elasticity of Substitution (CES) utility function represents ...
Mankiw (1985) estimated the IES for consumption of durable goods. Our ... intertemporal
elasticity of substitution of durable good consumption is ...
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International risk-sharing and non-traded goods

LL Tesar - Journal of International Economics, 1993 - Elsevier
... Hall, RE, 1988, Intertemporal substitution in consumption, Journal of Political Economy 96 ... PM
and C. Stuart, 1992, Does the elasticity of intertemporal substitution differ across ... Mao, C., 1989,
Estimating intertemporal elasticity of substitution: The case of loglinear restrictions ...
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[PDF] Test of the C-CAPM for the Philippines: 1981-1997

[PDF] from psu.edu
CC Bautista - The Philippine Review of Economics and Business, 1999 - Citeseer
... In this model, it is also the intertemporal marginal rate of substitution. 2 The pioneering article
on multiperiod asset pricing along these lines was written by Lucas (1978). ... 3 It is well known that
the inverse of α is the elasticity of intertemporal substitution. ... of consumption data. ...
Cited by 1 - Related articles - View as HTML - All 10 versions

[PDF] Measuring intratemporal and intertemporal substitutions when both income and substitution effects are present: the role of consumer durables

[PDF] from cmu.edu
M Pakoš - GSIA Working Papers, 2007 - tepper.cmu.edu
... that the elasticity of intertemporal substitution IES for the total consumption expenditures is
economically negligible. ... They estimate both intratemporal and intertemporal equations ... same
preference specification but estimating the elasticity of substitution using cointegrating ...
Cited by 1 - Related articles - View as HTML - All 9 versions

A panel cointegration approach to estimating substitution elasticities in consumption

M Auteri… - Economic Modelling, 2010 - Elsevier
... the intratemporal elasticity of substitution dominates over the intertemporal elasticity of substitution
and then ... test the effectiveness of fiscal expansion, the intratemporal elasticity of substitution ... the
previous subsection, the long-run elasticities of substitution between government ...
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An econometric analysis of the intertemporal general-equilibrium approach to exchange rate and current account determination

M Finn - Journal of International Money and Finance, 1989 - Elsevier
... function model; namely, one characterized by a zero elasticity of substitution across consumption
and real ... Notice from equation 3 that (1 Q) is the elasticity of intertemporal substitution, ie, it
measures the responsiveness of the percentage change in consumption to changes in ...
Cited by 9 - Related articles - All 7 versions

The permanent income hypothesis, business cycles, and regime shifts: Evidence from eight countries

[PDF] from uvt.nl
KG Koedijk… - De Economist, 1994 - Springer
... future consumption up to the point where the marginal rate of substitution equals the ... levels of
(expected) real interest rates rt+ 1, a larger elasticity of intertemporal substitution cq (or ... that the
only legitimate role of lagged information variables in explaining future consumption is in ...
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Unexploited Connections Between Intra-and Inter-temporal Allocation

[PDF] from cam.ac.uk
TF Crossley… - 2006 - dspace.cam.ac.uk
... of substitution (k * $), so F! " must be nonlinear (F)) "* $ ... Inter$temporal expansion paths (and
Engel curves for periods or states) are linear but not through the origin. ... For example, Attanasio
and Weber (1995) estimate the elasticity of intertemporal substitution to ...
Cited by 1 - Related articles - All 13 versions

How forecastable is consumption growth? New evidence on the Hall random walk hypothesis

AD Viard - Applied Economics, 1997 - Taylor & Francis
... real interest rate variations, with a constant of propor- tionality equal to 1/A, the elasticity of
intertemporal substi- tution. ... 1983), Hall (1988), and Campbell and Mankiw (1989, 1990 and 1991),
a consistent estimate of the elasticity of intertem- poral substitution can be ...
Cited by 9 - Related articles - SFX@cnb - BL Direct - All 8 versions

[CITATION] The Response of Consumption Growth to Expected Future Income Growth: Synthetic Panel Evidence

JJ Nalewaik - University of Chicago Graduate School of Business …, 2002
Cited by 1 - Related articles - All 2 versions

[PDF] The excess smoothness puzzle, habit formation, and forward-looking behavior in aggregate consumption

[PDF] from carleton.edu
M Gravelle - Senior Comprehensive Paper, Carleton College, …, 2007 - people.carleton.edu
... intertemporal substitution of consumption is very low. Following a positive technology ...
consumption from a utility function and inter-temporal budget constraint that directly ... expected
real interest rate, and represents the intertemporal elasticity of substitution. For ...
Cited by 1 - Related articles - View as HTML - All 4 versions

Interpretable asset markets?

[PDF] from upenn.edu
R Bansal, V Khatchatrian… - European Economic Review, 2005 - Elsevier
... The slope coefficient in the regressions that link valuation ratios to consumption volatility is ... carlo
based, finite sample empirical distribution for the various parameters and test statistics of interest. ...
present value restriction is that (2) View the MathML source This equation says that ...
Cited by 87 - Related articles - BL Direct - All 20 versions

The value of life and the rise in health spending

[PDF] from stanford.edu
RE Hall… - 2004 - nber.org
... Fitting the life expectancy and health spending data to our health technology, equation
(11), we find ... implies, for example, that consumption will not depend on health status), and
that quality of life is a constant elasticity function of health status. ...
Cited by 248 - Related articles - BL Direct - All 48 versions

Luxury goods and the equity premium

[PDF] from jstor.org
Y Ait‐Sahalia, JA Parker… - The Journal of Finance, 2004 - Wiley Online Library
... The real test of the model lies in the Euler equation for luxury goods, which evaluates the ... Second,
we estimate the elasticity of intertemporal substitution with our luxury data. ... Fourth, we test whether
our preferred measure of luxury consumption explains the cross-section of stock ...
Cited by 169 - Related articles - SFX@cnb - BL Direct - All 31 versions

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Information, Habits, and Consumption Behavior: Evidence From Micro Data

M Kuismanen… - ECB Working Paper No. 572, 2006 - papers.ssrn.com
... (primarily, the elasticity of intertemporal substitution, and, in some instances, the rate ... approach
is its inability to address questions such as how consumption reacts to unexpected changes in
income ... Thus, the Euler equation allows estimation of intertemporal substitution effects, ...
Cited by 2 - Related articles - All 5 versions

A survey of weak instruments and weak identification in generalized method of moments

[PDF] from nber.org
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JH Stock, JH Wright… - Journal of business and economic statistics, 2002 - ASA
... Equa- tion (1) is the structural equation, and ‚ is the scalar parameter of interest. ... where ƒ is the
coeffi cient of relative risk aversion (here also the inverse of the elasticity of intertemporal
substitution), ãctC1 is the growth rate of consumption, rtC1 is the log gross return on some ...
Cited by 1148 - Related articles - SFX@cnb - BL Direct - All 26 versions

Consumption and saving behaviour: modelling recent trends

[PDF] from ifs.org.uk
O Attanasio - Fiscal Studies, 1997 - Wiley Online Library
... It will be possible, for instance, to assess the size of the elasticity of intertemporal substitution -
that is to ... estimates of our structural parameters to evaluate the compensated and uncompensated
wage elasticity of male ... rationalised within an intertemporal optimisation framework. ...
Cited by 12 - Related articles - SFX@cnb - BL Direct - All 9 versions

[HTML] Reconciling cyclical movements in the marginal value of time and the marginal product of labor

[HTML] from jstor.org
RE Hall - Journal of Political Economy, 2009 - JSTOR
... The first property is risk aversion and intertemporal substitution in consumption. With additively
separable preferences across states and time periods, the coefficient of relative risk aversion
(CRRA) and the intertemporal elasticity of substitution are reciprocals of one another. ...
Cited by 58 - Related articles - SFX@cnb - All 13 versions

[PDF] Estimating intertemporal allocation parameters using simulated expectation errors

[PDF] from ox.ac.uk
S Alan… - Economics Series Working Papers, 2006 - economics.ouls.ox.ac.uk
... on the inverse of this parameter, the elasticity of intertem% poral substitution (EIS ): ... to estimate
the intertemporal price elasticity (the EIS) without some intertemporal varia% tion ... of parameters
and different income processes within the time separable iso%elastic utility framework. ...
Cited by 1 - Related articles - View as HTML - All 7 versions

Explaining consumption: a simple test of alternative hypotheses

T Bayoumi - 2006 - papers.ssrn.com
... interest rate and have the same utility function—in particular, they have the same intertemporal
elasticity of substitution and discount ... discount rates differ across provinces then so will the constant
terms (a). Similarly, if intertemporal elasticities of substitution vary then ...
Cited by 23 - Related articles - BL Direct - All 11 versions

THE EFFECT OF INDIVIDUAL RETIREMENT ACCOUNTS ON HOUSEHOLD CONSUMPTION AND NATIONAL SAVING*

[PDF] from jstor.org
OP Attanasio… - The Economic Journal, 2002 - Wiley Online Library
... such an effect, log utility (ρ=1) implies that income and substitution effects cancel ... in the IRA
programme on consumption is ambiguous and depends on the elasticity of intertemporal
substitution. ... In summary, while the results of both the consumption and asset tests for the 1982 ...
Cited by 44 - Related articles - SFX@cnb - BL Direct - All 21 versions

[PDF] Do Changes in Current Income Help to Explain Changes in Consumption in Israel?

[PDF] from boi.gov.il
Y Lavi - Israel Economic Review, 2003 - boi.gov.il
... The expansion also facilitates the estimation of the elasticity of intertemporal substitution. ... Note
that this elasticity denotes intertemporal substitution, and that the larger this elasticity, the more
effective will monetary ... where θ = λσ and σ is the intertemporal elasticity of substitution. ...
Cited by 1 - Related articles - View as HTML - All 11 versions

Intertemporal substitution and durable goods: long-run data

[PDF] from uni-muenchen.de
C Reinhart… - 1998 - mpra.ub.uni-muenchen.de
... Hence, the estimator of the intertemporal elasticity of substitution which is based only on the growth
rate of ... nondurable and durable goods. We assume that the Constant Elasticity of Substitution ...
nondurable good, P2(t), is equated with the marginal rate of substitution based on ...
Related articles - All 7 versions

[PDF] Marginal vs. Average Bundle and the Intertemporal Elasticity of Substitution

[PDF] from bu.edu
F Gourio - 2004 - bu.edu
... others who estimate the IES (Intertemporal elasticity of substitution in consumption). Second, ... Result
1: the real marginal rate of substitution (aka stochastic discount factor) is, to a ... Note that a similar
argument can be made for the intertemporal elasticity of labor supply. ...
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[PDF] A Tax-Based Estimate of the Elasticity of Intertemporal Substitution

[PDF] from aeaweb.org
GE Blanchard, E Luttmer, J Parker - 2005 - aeaweb.org
... Epstein, Larry, and Stanley Zin (1989). “Substitution, Risk Aversion, and the Temporal Behavior
of Consumption and Asset Returns: A Theoretical Framework,” Econometrica, 57, 937-969. ...
“Mismeasurement of the Elasticity of Intertemporal Substitution The Role of ...
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The Rate of Interest or the Rate of Return: Estimating Intertemporal Elasticity of Substitution

[PDF] from albany.edu
D Dacy… - 2005 - papers.ssrn.com
... Hall (1988) estimated intertemporal elasticity of substitution with a log-linear model but
rejected the Hansen-Singleton one-period lagged instruments. ... relative risk aversion and
elasticity of substitution among other advantages. They chose four ...
Related articles - All 10 versions

[CITATION] Consumption, Income, and Asset Returns: Rethinking the Puzzle of Excess Sensitivity

GW Wanga…
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[CITATION] 23 Elasticity puzzle

SH Chen, YC Huang… - Computable, constructive and …, 2009 - Taylor & Francis
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Making the Case for a Low Intertemporal Elasticity of Substitution

[PDF] from kyoto-u.ac.jp
RA Braun… - KIER Discussion Paper, 2011 - repository.kulib.kyoto-u.ac.jp
... evidence from macroeconomic data about the magnitude of the intertemporal elasticity of
substitution (IES) is ... they allow us to make a meaningful distinction between intertemporal
substitution and risk ... maintained hypothesis of a large IES the response of consumption to interest ...
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Essays on Structural Modeling of Life Cycle Behavior

[PDF] from pitt.edu
N Khorunzhina - 2011 - challenger.library.pitt.edu
... ticity of Substitution to analyze the degree of heterogeneity in these coefficients. I find that ... 81
APPENDIX D. INTERTEMPORAL ELASTICITY OF SUBSTITUTION 85 ... measured with error
(ie, assumed to be classical). The consumption Euler equation belongs ...
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[PDF] Forecasting Consumption Growth with the Real Term Structure

[PDF] from 128.173.173.165
KP Tsang - Working Papers, 2008 - 128.173.173.165
... The coefficient on the expected return is the elasticity of intertemporal substitution (EIS). ... growth
of longer horizons will more accurately measure intertemporal substitution. First, ... a more accurate
measure of how people substitute consumption over time. In addition to ...
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[PDF] The Dynamic Relationship Between Expected Consumption Growth and Expected Returns on Aggregate Wealth

[PDF] from harvard.edu
J Beeler - people.fas.harvard.edu
... However, an elasticity of intertermporal substitution equal to one implies ... A substantial empirical
literature including Hall (1988) and Campbell (2003) estimates the elasticity of intertemporal
substitution to be low and sometimes negative in the following regression ...
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On The Use of Elasticity of Intertemporal Substitution

A Georgiev - 2004 - papers.ssrn.com
... Intertemporal Elasticity of Substitution (EISt,h) is defined as follows: ... Such a substitution does not
seem very intuitive and requires comparison with the definition given in ... use that fact to illustrate
the main message of the paper - it is Elasticity of Intertemporal Substitution which is ...
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[BOOK] Euler consumption equation with non-separable preferences over consumption and leisure and collateral constraints

[PDF] from suomenpankki.fi
J Kilponen - 2009 - papers.ssrn.com
... long-run labour supply.3 A low value of the elasticity of intertemporal substitution means that ... labour
supply elasticity indicating the size of the income and substitution effects ... equal to the inverse
of the downpayment times the intertemporal elasticity of substitution, s. Consumption ...
Related articles - All 14 versions

The Effect of Interest Rate on Household Consumption: Evidence from a Natural Experiment in India

M Kapoor… - 2009 - papers.ssrn.com
... Among many issues that are related to inter-temporal substitution, one of the most ... intertemporal
elasticity of substitution and φ is a constant. This equation captures the ... consumption level
at age 60, after we control for household observables ia X which ...
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[BOOK] Estimating the Aggregate Consumption Euler Equation with State-Dependent Parameters

H Mumtaz, P Surico… - 2011 - papers.ssrn.com
... substitution improves the fit of an otherwise standard calibrated macro model. The fi% ... tertemporal
substitution generate the predictions that the degree of forward%lookingness ... the elasticity of
intertemporal substitution. Furthermore, it suggests that monetary policy ...
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[PDF] An Empirical Assessment of a Consumption CAPM with a Reference Level under Incomplete Consumption Insurance

[PDF] from yorku.ca
A Semenov - Working Papers, 2003 - dept.econ.yorku.ca
... estimate of the elasticity of intertemporal substitution is in the conventional range and significantly
different from the ... Keywords: incomplete consumption insurance, intertemporal substitution, limited
asset ... rate of per capita consumption is consistent with the low short-term real ...
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[PDF] Bounded Rationality and the Elasticity Puzzle: Analysis Based on Agent-Based Computational Consumption Capital Asset Pricing Models

[PDF] from nccu.edu.tw
SH Chen - nccuir.lib.nccu.edu.tw
... risk aversion concerns the willingness of an investor to move consumption between states ... an
alternative specification for preference which can disentangle risk aversion from intertemporal
substitution. ... 1 − ρ)/(1 − 1/ψ) where ψ is the elasticity of intertemporal substitution, ρ and β ...
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[PDF] The Substitutability between Private and Government Consumption Revisited in Japan

[PDF] from kobe-u.ac.jp
T Fujii - Discussion Papers, 2009 - econ.kobe-u.ac.jp
... The appropriate estimation of Eq.(7) would allow us to obtain a consistent estimate of the
intratemporal elasticity of substitution between private and government consumption, 1=®. Further-
more, we can estimate the intertemporal elasticity of substitution, 1=°, and ...
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[PDF] Residential housing, household portfolio, and intertemporal elasticity of substitution

[PDF] from utexas.edu
SG Donald, VJ Geraci… - 2005 - lib.utexas.edu
... In particular, using the constant elasticity of substitution (CES) utility function, I estimate the
intertemporal elasticity of substitution (IES), a parameter measuring the response of household's
consumption growth to a change in a rate of return, and relative risk aversion (CRRA). ...
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[PDF] Integrating Consumption Euler Equations to Reconcile Conflicting Evidence on the Permanent Income Hypothesis

[PDF] from ndhu.edu.tw
GW Wang, WL Mao - econ.ndhu.edu.tw
... Page 3. intertemporal substitution (EIS), which is the reciprocal of the coefficient of ... as an elasticity
puzzle (Guvenen, 2002). ... Nonetheless, the second equality in (3) states that for intertemporal
optimization the expected consumption is formed according to the riskless-rate. Page 9. ...
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[PDF] Consumption, Real After Tax Interest Rates and Income Innovations

[PDF] from upf.edu
R Salas… - 1992 - econ.upf.edu
... The magnitude of this effect will be determined by (1/oi) , the intertemporal elasticity of substitution. ...
mentioned, evidence with respect to the role of interest rates on the intertemporal allocation of ...
to (t-1) . A high value of the coefficient indicates that the elasticity of substitution is ...
Related articles - All 3 versions

Estimating the Intertemporal Elasticity of Substitution in a Model with Household Production: Implications for Macroeconomics

P Data, H Bunzel, BJ Christensen, P Jensen… - 2000 - emeraldinsight.com
... panel data on both home and market hours, as well as market consumption, and this ... in Rupert,
Rogerson and Wright (1995) to estimate the elasticity of substitution between cmt ... The intertemporal
elasticity of substitution is given by a2, while a^ tells us how hours move over time ...
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[PDF] Don't break the habit: structural stability tests of consumption models in the UK

[PDF] from repec.org
S Hyde, M Sherif - Money Macro and Finance (MMF) Research Group …, 2004 - repec.org
... to discriminate between two implies which might be of interest to empirical ... The estimated elasticity
of intertemporal substitution, σ, is small but insignificant, and estimates for ... Weber, EC, 2000,
“'Rule-of Thumb' consumption, intertemporal substitution, and risk aversion”, Journal ...
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Heterogenous intertemporal elasticity of substitution and relative risk aversion: estimation of optimal consumption choice with habit formation and measurement errors

[PDF] from uni-muenchen.de
K Natalia, G Wayne Roy - 2011 - mpra.ub.uni-muenchen.de
... 2 Page 3. 1 Introduction Until recently, little was known about differences in intertemporal
substitution and risk aversion ... ity in these parameters, using microdata, is to start with models that
imply constant intertemporal elasticity of substitution (IES) or relative risk aversion (RRA). ...
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Estimating Euler Equations with the Return on Total Wealth

[PDF] from tsukuba.ac.jp
M Okubo - 2006 - tulips.tsukuba.ac.jp
... factor, σ is the intertemporal elasticity of substitution (IES), and γ denotes the coefficient of 3 Page
6. ... The mean and standard deviation of the log real interest 10 Page 13. rate and consumption
growth slightly differ from those of Campbell (2003) and the correlation is lower. ...
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[PDF] Consumption Euler equation with non% separable preferences over consumption and leisure and collateral constraints

[PDF] from uoc.gr
J Kilponen - economics.soc.uoc.gr
... A low value of the elasticity of intertemporal substitution means that the marginal utility of consump ...
supply elasticity indicating the size of the income and substitution effects ... is equal to the inverse
of the downpayment times the intertemporal elasticity of substitution s. Consumption ...
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[PDF] INSTITUTE OF POLICY AND PLANNING SCIENCES

[PDF] from tsukuba.ac.jp
M Okubo - 2002 - tulips.tsukuba.ac.jp
... highly significant with the theoretically expected sign, indicating that the elasticity of substitution
ranges from ... 4.2 The Intertemporal Elasticity of Substitution Let us now turn to GMM estimation
of a. In the second ... include the growth rate of C21 in place of the real consumption ratio. ...
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[CITATION] Time-varying returns, intertemporal substitution and cyclical variation in consumption

[PDF] from nzae.org.nz
E De Veirman… - The BE Journal of Macroeconomics, 2011 - bepress
Cited by 1 - Related articles - SFX@cnb - All 11 versions

[PDF] Euler Equation Estimation on Micro Data

[PDF] from monash.edu.au
S Alan, K Atalay… - 2011 - buseco.monash.edu.au
... actual estimates of the elasticity of the intertemporal substitution and relative prudence. ... A large
and growing empirical literature investigates the sensitivity of consumption (or, equivalently, saving)
to interest rates (the elasticity of intertemporal substitution) and to uncertainty ...
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Intertemporal Consumption with Directly Measured Welfare Functions and Subjective Expectations

A Kapteyn, K Kleinjans… - CentER Discussion Paper …, 2008 - papers.ssrn.com
... Furthermore, estimates of the intertemporal elasticity of substitution based on the estimated
welfare functions are plausible and of a similar order of magnitude as other estimates found
in the literature. ... rate (ie, the intertemporal rate of substitution). ...
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[PDF] Frisch Demand Functions and Intertemporal Behaviour in Consumption: The Turkish Case

[PDF] from pide.org.pk
E Telatar, F Telatar… - Pakistan Development Review, 2000 - pide.org.pk
... The commodity-specific intertemporal elasticity of substitution and the intertemporal own-price
elasticity for a ... signs of αi and,γii because wit >0. Since all of the estimated parameters for γi in
Table 1 are positive, the commodity-specific intertemporal elasticities of ...
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[PDF] Centre de recherche sur l'emploi et les fluctuations économiques (CREFÉ) Center for Research on Economic Fluctuations and Employment (CREFE) Université …

[PDF] from uqam.ca
RA Amano, WM Ho… - 1998 - economie.uqam.ca
... UD t F t ,( ) u D t F t ,( ) [ ] ln= 1 γ⁄ 1= Page 5. 5 ; and (4) and ; (5) For this utility function, represents
the intratemporal elasticity of substitution between domestic and foreign goods consumption,
and represents the intertemporal elasticity of substitution of the composite good. ...
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[PDF] Bounded Rationality and the Elasticity Puzzle: What Can We Learn from the Agent-Based Computational Consumption Capital Asset Pricing Model

[PDF] from nccu.edu.tw
SH Chen - nccu.edu.tw
... 1982, 1983), or is it that its reciprocal, the intertemporal elasticity of substitution, is small ... a group
of agents who all have large, while different, elasticities of intertemporal substitution. ... we have
two groups of agents with the same elasticity of intertemporal substitution ψ, denoted by ...
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2 Credit, money and consumption: time-series evidence for Italy

OP Attanasio… - … markets' liberalisation and the role of …, 1993 - books.google.com
... 2.1. The elasticity of intertemporal substitution is now larger (0.59), but very
poorly deter- mined. ... 45. Hall, RE (1988)'Intertemporal Substitution in
Consumption', Journal of Poli- tical Economy, 96: 339-57. Hansen ...
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Do Imports Crowd Out Domestic Consumption? A Comparative Study of China, Japan and Korea

[PDF] from nottinghameducationalenterprises.com
C Chuanglian, C Guojin… - 2011 - papers.ssrn.com
... substitution (AES, hereafter for convenience) and the intertemporal elasticity of substitution ...
approach. The average elasticity of import demand with respect to a permanent increase in real ...
or future import consumption (intertemporal substitution). In fact, if the parameters of habit ...
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[PDF] PV Models for Consumption and asset prices

[PDF] from unibocconi.it
CA Favero - didattica.unibocconi.it
... Page 8. • The elasticity of intertemporal substitution (EIS) is ... the substitution effect, while if ψ is
greater than one, then the substitution effect dominates ... Solving out for expected consumption
growth allows the estimation of the intertemporal elasticity of substitution and provides an ...
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[PDF] A General Test for Rule&of&Thumb Behavior in Consumption

[PDF] from eea-esem.com
FAR Gomes… - eea-esem.com
... where * > 0 is the relative risk aversion and 1/* is the intertemporal elasticity of substitution, the
Euler Equation (10) becomes ... aversion parameter. In fact, in some cases the author obtains an
elasticity of intertemporal substitution not significant. Besides, Hall (1988) discussed the ...
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[BOOK] Consumer Preferences and the Reliability of Euler Equation Tests of Capital Mobility: Some Simulation-based Evidence

[PDF] from ethz.ch
CM Buch, J Doepke, C Pierdzioch… - 2002 - kms2.isn.ethz.ch
... expectations operator, and ϑ = the reciprocal of the intertemporal elasticity of substitution. Foreign
variables are denoted by a star. ... rates of substitution of consumption between countries help
predicting current dif- ferences by running the following regression: EI , (1') ∑ ...
Related articles - View as HTML - BL Direct - All 12 versions

[PDF] Switching Regression Estimates of EIS for Stockholders and Non-Stockholders

[PDF] from fiu.edu
S Guo - 2008 - casgroup.fiu.edu
... based asset pricing model with CRRA un- tility functions (hence the elasticity of intertemporal
substitution (EIS) of ... of persons who are actively adjusting their marginal rates of substitution of
consumption ... expecting the market return to be high, will defer their consumption to later ...
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The sensitivity of aggregate consumption to human wealth

[PDF] from bankofengland.co.uk
H Bakhshi… - WORKING PAPER SERIES …, 2000 - papers.ssrn.com
... (3) ( ) θ θ − = − 1 1 t t c cU , where 1/θ is the intertemporal elasticity of substitution. ... (5) So if
there is no substitution, then β=r, as with a conventional financial annuity with infinite life.
Page 8. 11 ... Comparing this with an econometrically estimated elasticity ...
Cited by 5 - Related articles - BL Direct - All 11 versions

Asset pricing lessons for modeling business cycles

[PDF] from uc3m.es
M Boldrin, LJ Christiano… - 1995 - nber.org
... As is well-known, the elasticity of intertemporal substitution in consumption is the inverse of ... Thus,
we infer from (3.14) that reducing intertemporal substitution has a very different ... Consumption
growth at different levels of time aggregation have different autocorrelation patterns ...
Cited by 81 - Related articles - BL Direct - All 22 versions

Estimated general equilibrium models for the evaluation of monetary policy in the US and Europe

[PDF] from gla.ac.uk
C Leith… - European Economic Review, 2005 - Elsevier
... economies, all parameters aside from the discount factor and the intertemporal elasticity of
substitution were found ... imply that consumers implement identical consumption plans, we can
substitute for the ... also real interest rate effects and the impact of the consumption taste shock ...
Cited by 80 - Related articles - All 28 versions

A structural VAR approach to the intertemporal model of the current account

[PDF] from bankofcanada.ca
T Kano - Journal of International Money and Finance, 2008 - Elsevier
... u(C) = C 1−1/σ /(1 − 1/σ), where σ is the elasticity of intertemporal substitution. ... coefficient (σ −
1)c + 1 on the second term captures the intertemporal substitution effect, the ... representative
consumer changes the current account–net output ratio to smooth consumption in response ...
Cited by 42 - Related articles - All 43 versions

[HTML] Consumption in South America: myopia or liquidity constraints?

[HTML] from scielo.br
FAR Gomes… - Economia Aplicada, 2010 - SciELO Brasil
... Cavalcanti, C. (1993), 'Inter-temporal substitution in consumption: an empirical investigation for ...
Vaidyanathan, G. (1993), 'Consumption, liquidity constraints and economic development ... Yogo,
M. (2004), 'Estimating the elasticity of intertemporal substitution when instruments are ...
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[PDF] 4 Consumption

[PDF] from stanford.edu
RE Hall - Modern business cycle theory, 1989 - stanford.edu
... that shadow price involves a consideration of the entire inter- temporal planning problem ... case,
Selden's results show that it is unambiguously the elasticity of intertemporal substitution and not ...
source of a down- ward bias in estimates of the intertemporal elasticity of substitution. ...
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Habit persistence and the marginal propensity to consume in Japan

P Pagano - Journal of the Japanese and International Economies, 2004 - Elsevier
... is the relative risk aversion (RRA) coefficient and also the inverse of the intertemporal elasticity
of substitution. ... and use instruments that are distinct from lagged real returns and consumption
growth but ... are lagged nominal stock return, lagged nominal short term interest rate, the ...
Cited by 10 - Related articles - All 6 versions

[PDF] Melbourne Institute Working Paper Series

[PDF] from melbourneinstitute.com
PA Smith… - 2005 - melbourneinstitute.com
... From the derivation shown in the last section, σ is actually the elasticity of intertemporal
substitution, which captures the substitution effect of changes in the interest rate on
consumption over time. It is difficult to separate the substitution effect from ...
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[PDF] Testing External Habits in US State Consumption

[PDF] from eea-esem.com
GM Korniotis - 2003 - eea-esem.com
... conditional expectations of consumption and of the asset return. One can substitute out the ...
equation of state consumption: AlogCi,t+1 = ci + λ1 log(1 + ri b,t+1) (10) +λ2 ⎡ ⎣ n Σ p=1,p/ei ... for
the elasticity of intertemporal substitution, EIS, and ηi,t+1 is the regression error term. ...
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[PDF] A Semiparametric Life Cycle Labor Supply Model with Non% Additive Fixed Effects

[PDF] from georgetown.edu
E Schroeder - 2010 - georgetown.edu
... and not significantly different from zero. Life%cycle theory predicts that the intertemporal elasticity
of substitution, captured here by the wage coeffi cient, must be positive. Thus ... while the APE
remains relatively flat. In addition, the wage elasticity is found to be ...
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[PDF] Corporate savings and shareholder consumption

[PDF] from nber.org
AJ Auerbach… - 1991 - nber.org
... If this consumer has a CES utility function with an intertemporal elasticity of substitution a and
a pure rate of time pref ... Variables are converted to real values with the aggregate defla- tor for
nondurable consumption. Every variable but the interest rate is in logs and per capita. ...
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[PDF] Households' Consumption under the Habit Formation Hypothesis. Evidence from Italian Households using the Survey of Household Income and Wealth (SHIW)

[PDF] from essex.ac.uk
M Rossi - Economics Discussion Papers, 2005 - vwww.essex.ac.uk
... They suggest an elegant axiomatisation that allows disentangling the intertemporal substitution
from the risk aversion factor. Within ... constant elasticity of intertemporal substitution equal to 1/α. ...
is compensated by the remuneration for postponing consumption, ie the interest rate. ...
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[PDF] Reconciling Consumer Confidence and Permanent Income

[PDF] from mcdaniel.edu
KH McIntyre - mcdaniel.edu
... ity of substitution: estimates of 1=¾ are essentially unchanged under the CAPIH in both size and
significance level. ... Finally, estimates of the intertemporal elasticity of substitution generally fall
into the same 0.13-0.15 range observed under the CAPIH. 6 Summary and Conclusion ...
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Optimal portfolio choice for long-horizon investors with nontradable labor income

LM Viceira - 1999 - nber.org
... It is also increasing in the expected return on wealth for retired investors whose elasticity of
intertemporal substitution (1/7) is smaller than the wealth elasticity of consumption. ... Page 15. return
on financial wealth dominates the substitution effect and they choose to consume the ...
Cited by 460 - Related articles - SFX@cnb - BL Direct - All 16 versions

[PDF] Lecture Notes 1 Consumption under Uncertainty

[PDF] from uu.se
P Fredriksson - 2004 - nek.uu.se
... The intertemporal elasticity of substitution measures consumers' willingness to substitute
consumption between different points in time. ... As before the constraints define an intertemporal
budget constraint, but this time it has to ... By repeated substitutions, the RHS can be written as ...
Related articles - View as HTML - All 4 versions

Consumption and Habits: Evidence from Panel Data

R Carrasco Perea, J Labeaga Azcona… - Economic Journal, Vol. … - papers.ssrn.com
... constraints do not bind, it is still possible to analyse intertemporal substitution effects using ... This
yields evidence of correlation of consumption over four consecutive quarters. ... price elasticities
have been also computed, as well as the intertemporal elasticity of substitution and a ...
Related articles

THE TIME‐SERIES PROPERTIES OF AGGREGATE CONSUMPTION: IMPLICATIONS FOR THE COSTS OF FLUCTUATIONS

[PDF] from columbia.edu
R Reis - Journal of the European Economic Association, 2009 - Wiley Online Library
... There- fore, distinguishing between intertemporal substitution and risk aversion does not affect
the ... Moreover, the intertemporal elasticity of substitution does not enter the formula for the costs ...
calibrated β, so when he lowered the elasticity of intertemporal substitution by raising θ ...
Cited by 26 - Related articles - SFX@cnb - All 6 versions

[PDF] Consumption function, labour supply rationing and borrowing constraints

[PDF] from jstor.org
E Koskela… - Oxford Economic Papers, 1985 - JSTOR
... Varying the intertem- poral elasticity of substitution several variants of the 'market ... in the case of
CD intertemporal preferences with unitary intertemporal elasticity of substitution all the ... With CD
intertemporal preferences explicit solutions for the consumption behaviour can be ...
Cited by 2 - Related articles - All 7 versions

[BOOK] Strategic asset allocation

[PDF] from pp.ua
JY Campbell, LM Viceira… - 2002 - vmg.pp.ua
... Even if expected excess returns on risky assets over safe assets are constant, time0variation
in real interest rates is ... is the special case of power utility in which both the coefficient of relative
risk aversion and the elasticity of intertemporal substitution in consumption equal one. ...
Cited by 946 - Related articles - View as HTML - All 24 versions

Government Spending, the Real Interest Rate, and Liquidity-Constrained Consumers' Behavior in Developing Countries

N Rossi - Fiscal policy, stabilization, and growth in developing …, 1989 - books.google.com
... problems with aggregate-savings equations, estimates the elasticity of intertemporal substitution
in (private ... where the use of IDA resources is common), intertemporal substitution is weak ... restricted
model, the former parameter controls the inter- temporal elasticity of substitution ...
Cited by 1 - Related articles - All 3 versions

[DOC] … F]* F]** H]* H]* H]* H]* H]* H]** f]* 4Ü]** f]*╚ P*╚ f]* f]***#*** Private Consumption and Public Consumption In An LDC High Inflation Economy, Some Empirical

[DOC] from ksu.edu.sa
AMM Abdel-Rahman - faculty.ksu.edu.sa
... to liquidity constrained consumers and the intertemporal elasticity of substitution in consumption. ...
consumption constrained by liquidity constraints, the elasticity of intertemporal substitution,
substitution between private ... The responsiveness of consumption growth to the expected ...
Related articles - View as HTML

Robust aggregate implications of stochastic discount factor volatility

[PDF] from espol.edu.ec
CB Mulligan - 2004 - nber.org
... preference parameters, the constant intertemporal elasticity of substitution σ. ... creates a substitution
effect lowering capital accumulation. ... expected return of capital over other assets is just a function
of consumption behavior, as summarized by the consumption Euler equation. ...
Cited by 14 - Related articles - BL Direct - All 9 versions

[BOOK] An Empirical Investigation into Government Spending and Private Sector Behaviour

[PDF] from bankofcanada.ca
RA Amano, Bank of Canada… - 1994 - bankofcanada.ca
... productivity. The increase in productivity raises the real wage sufficiently that there is a substitution
away from leisure and into consumption. ... where is the intertemporal elasticity of substitution.
Equation (8) implies the following econometric relationship: ... along intertemporal lines. ...
Cited by 1 - Related articles - View as HTML - All 48 versions

[PDF] Estimation of optimal consumption choice with habit formation and measurement errors

[PDF] from virginia.edu
WR Gayle… - 2010 - people.virginia.edu
... Un- til recently, little was known about changes in risk aversion and intertemporal substitution
across ... intertemporal elasticity of substitution, and Section 8 concludes. ... plicated by the problem
of measurement errors in consumption, which, if ignored, will likely result ...
Related articles - View as HTML - All 3 versions

Intertemporal choice and consumption mobility

[PDF] from jstor.org
T Jappelli… - Journal of the European Economic …, 2006 - Wiley Online Library
... It is therefore of interest to check if the transition matrix is symmetric using the ... from theory the
implications for consumption mobility of popular models of intertemporal choice (PIH ... distance
between the empirical and the theoretical transition matrix of the consumption distribution. ...
Cited by 35 - Related articles - SFX@cnb - BL Direct - All 19 versions

[BOOK] The transfer problem revisited: net foreign assets and real exchange rates

[PDF] from hkimr.org
PR Lane… - 2000 - books.google.com
... The former effect dominates if the intertemporal elasticity of substitution is greater that the
intratemporal elasticity of substitution ... The elasticity of substitution is parameterized by θ; if the
relative price is unity ... elasticity for the demand of nontraded goods only for industrial countries. ...
Cited by 82 - Related articles - All 32 versions

[PDF] A Revisit to the Equity Premium Puzzle

[PDF] from ndhu.edu.tw
GW Wanga… - econ.ndhu.edu.tw
... known as the stochastic discount factor or the intertem- poral marginal rate of substitution. ... puzzle
may be resolved by imposing the information of relative asset returns and consumption. ... γ is
calculated to be about 4.935, so that the elasticity of intertemporal substitution is about ...
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The dynamics of aggregate UK consumers' non-durable expenditure

[PDF] from bde.es
E Fernandez-Corugedo, S Price… - Economic Modelling, 2007 - Elsevier
... If the intertemporal substitution of durable consumption exceeds that of non-durables (1/χ >
1/α), 1 will exceed unity (as in ... for the driving variables, we can in some cases obtain closed form
solutions and use the Euler equation to substitute out for consumption growth and ...
Cited by 7 - Related articles - All 14 versions

[BOOK] Consumption dynamics and real exchange rates

[PDF] from cepr.org.uk
MO Ravn… - 2001 - papers.ssrn.com
... where is the (constant) elasticity of substitution between C and C2 and ωi ... countries apart from:
(i) Effects of differences in the elasticity of intertemporal substitution in consumption ... on the real
exchange rate is simply the domestic intertemporal elasticity of substitution (hence, both ...
Cited by 52 - Related articles - BL Direct - All 21 versions

Transitional dynamics in an R&D-based growth model with imitation: Comparing its predictions to the data

[PDF] from ua.es
F Perez-Sebastian - Journal of Monetary Economics, 2000 - Elsevier
... Growth effects are however possible along the transition. (9) and (17) give us the steady-state
interest rate (18) Condition (14), in turn ... Estimates of the inverse of the intertemporal elasticity
of substitution between present and future consumption go from 1 to 3.5 (Hall ...
Cited by 31 - Related articles - All 12 versions

[PDF] Sources and mechanisms of cyclical fluctuations in the labor market

[PDF] from nber.org
RE Hall - Manuscript, Stanford University, 2007 - nber.org
... draw primarily upon research at the household rather than the aggregate level. The first property
is risk aversion and intertemporal substitution in consumption. With additively ... and the intertemporal
elasticity of substitution are reciprocals of one another. But there ...
Cited by 36 - Related articles - View as HTML - All 20 versions

[PDF] DO THE “JONESES” REALLY MATTER? PEER

[PDF] from psu.edu
IC CHOICE - Citeseer
... consumers aim at smoothing expected discounted marginal utility, while the potential peer effect
is formulated with respect to household consumption. After-tax interest rate heterogeneity, in
turn, exploits potential differences in the intertemporal substitution motive within ...
Related articles - View as HTML - All 2 versions

[PDF] Consumption strikes back? Measuring long-run risk

[PDF] from psu.edu
LP Hansen, JC Heaton… - Journal of Political Economy, 2008 - Citeseer
... linear specification of the discount factor (3) assumes that the intertemporal elasticity of substitution
is equal to ... will illustrate, this model provides an important role for the intertemporal composition
of ... of the representative consumer is given by the constant elasticity of substitution ...
Cited by 201 - Related articles - View as HTML - BL Direct - All 24 versions

[PDF] Why does consumer sentiment predict household spending?

[PDF] from richmondfed.org
YP Mehra… - ECONOMIC QUARTERLY-FEDERAL …, 2003 - richmondfed.org
... consumption and asset holdings in order to maximize the expected discounted utility function
(1) subject to an intertemporal budget constraint ... the high level of real rates may have led to
increased uncertainty about future real rates, deterring substitution of consumption in time. ...
Cited by 16 - Related articles - View as HTML - BL Direct - All 13 versions

[BOOK] Credit channels and consumption: European evidence

[PDF] from dnb.nl
GJ de Bondt… - 1999 - websiteacceptatie.dnb.nl
... the present depends directly on the magnitude of the intertemporal elasticity of substitution
(σ > 0). If the real interest rate is constant or the intertemporal substitution elasticity is zero,
then ... Real interest rate movements significantly explain consumption in ...
Cited by 3 - Related articles - All 11 versions

Does Access and Use OF Financial Service Smoothen Household Food Consumption?

[PDF] from uni-muenchen.de
SK Annim, I Dasmani… - 2011 - mpra.ub.uni-muenchen.de
... Inter-Temporal Consumption Decisions under Uncertainty The intertemporal consumption
decisions under uncertainty are ... fail to distinguish between the importance of intertemporal
substitution and risk ... tends to be determined by the elasticity of intertemporal substitution as well ...
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[PDF] Habit formation, interdependent preferences and demographic effects in the almost ideal demand system

[PDF] from jstor.org
R Alessie… - The Economic Journal, 1991 - JSTOR
... in AIDS as proposed in this paper and if one assumes that the elasticity of intertemporal
substitution is equal ... plans his/her consumption in a time consistent way and the intertemporal
utility function ... an elasticity equal to p, and partly dependent on prices with an elasticity equal to ...
Cited by 158 - Related articles - All 8 versions

The labor supply response to (mismeasured but) predictable wage changes

[PDF] from jstor.org
E French - Review of Economics and Statistics, 2004 - MIT Press
... estimates of the model of wage dynamics and estimates of the intertemporal elas- ticity of
substitution. ... where U is the expected discounted present value of lifetime utility, cit is consumption,
v is some ... intertemporal elasticity of substitution, which is the object of interest in this study ...
Cited by 39 - Related articles - SFX@cnb - All 9 versions

[PDF] Does the Real Term Structure Forecast Consumption Growth?

[PDF] from vt.edu
KP Tsang - 2007 - econ.vt.edu
... Forecast, Elasticity of Intertemporal Substitution ... Page 2. 2 1. INTRODUCTION Do people substitute
consumption over time in response to a change in the expected real return? ... term structure of
consumption growth (which is defined as the consumption growth from ...
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[PDF] Life-Cycle Demand for Major League Baseball

[PDF] from asu.edu
SC Ahn… - International Journal of Sport Finance, 2007 - public.asu.edu
... 0 1 ∂ 2 0 where and for j = 1, 2. The signs of and depend on the intertemporal elasticity of
substitution (IES) in the fan's attendance at the baseball games, the degree of the fan's willingness
to substitute his current ... 1 , (3) where ε1 is the price elasticity of current demand, and ...
Cited by 5 - Related articles - View as HTML - All 5 versions

Are countries with official international restrictions [] liquidity constrained'?

KK Lewis - European Economic Review, 1997 - Elsevier
... However, intertemporal substitution requires observations for a given country for at least ... that =
0, the interest rate coefficient represents the elasticity of intertemporal substitution in consump ...
However, empirical consumption studies have typically found this coefficient to be close ...
Cited by 21 - Related articles - BL Direct - All 11 versions

Do actions speak louder than words? household expectations of inflation based on micro consumption data

[PDF] from umich.edu
A Inoue, L Kilian… - Journal of Money, Credit and …, 2009 - Wiley Online Library
... Because the intertemporal elasticity of substitution is 1/ρ, this midrange estimate implies ρ= 5,
which is ... Hence, it is common to substitute the conditional expectation of a given household's ... is
no obvious alternative to this approach when testing whether consumption growth is ...
Cited by 10 - Related articles - SFX@cnb - BL Direct - All 18 versions

Capital tax incidence: Fisherian impressions from the time series

[PDF] from ens.fr
CB Mulligan - 2003 - nber.org
... 1949-95. An intertemporal elasticity of substitution of 2.5 is used,16 and consumption
is measured Page 20. Fisherian Capital Tax Incidence - 16 ... So the appropriate
intertemporal substitution elasticity” should reflect the elasticity of expected ...
Cited by 6 - Related articles - BL Direct - All 14 versions

The consumption response to predictable changes in discretionary income: evidence from the repayment of vehicle loans

[PDF] from psu.edu
M Stephens Jr - 2003 - nber.org
... elastiticies of substitution are more likely to vary with changes in income since the utility loss from
delaying consumption of these goods is relatively small. Using a more conven- ... intertemporal
elasticity of substitution and are thus "easier to postpone". Therefore, one ...
Cited by 7 - Related articles - BL Direct - All 12 versions

Buffer-stock saving and the life cycle/permanent income hypothesis

[PDF] from oxfordjournals.org
Full View
CD Carroll - The Quarterly Journal of Economics, 1997 - qje.oxfordjournals.org
... Solving the Model I assume that the consumer solves the intertemporal optimi- zation problem: ...
the baseline income growth and interest rate parameter values, be- cause with an interest rate
less ... horizon is arbitrarily long, it remains true that the growth rate of consumption will be ...
Cited by 987 - Related articles - SFX@cnb - BL Direct - All 29 versions

The coefficient of relative risk aversion: a Monte Carlo study investigating small sample estimator problems

L Pozzi - Economic Modelling, 2003 - Elsevier
... of relative risk aversion (RRA) or its inverse, the elasticity of intertemporal substitution (IES), 1
is a ... independent this coincides with the reciprocal of the intertemporal elasticity of substitution
(IES) of ... goods and services and the implicit price deflator of government consumption. ...
Cited by 4 - Related articles - All 14 versions

Fiscal policy and aggregate consumption: new evidence from the United States

J Darby… - Scottish Journal of Political Economy, 1996 - Wiley Online Library
... These models typically incorporate indirect crowding-out effects induced by interest rate changes ...
provided an explanation for a time-varying marginal rate of substitution between aggregate
government spending on goods and services and private consumption on non ...
Cited by 14 - Related articles - SFX@cnb - BL Direct - All 11 versions

Individual rather than household euler equations: Identification and estimation of individual preferences using household data

[PDF] from escholarship.org
M Mazzocco - 2005 - papers.ssrn.com
... husbands. In particular, the intertemporal elasticity of substitution of wives is about
half the elasticity for husbands or, equivalently ... t first order conditions of the
intertemporal collective model imply that agent 1's marginal rate of ...
Cited by 16 - Related articles - All 15 versions

Evidence on the substitutability between government purchases and consumer spending within specific spending categories

M Kuehlwein - Economics Letters, 1998 - Elsevier
... show formally that when consumers value government spending, it can substitute for and ... and
government purchases in category i and 1/1−φ is the intertemporal elasticity of substitution. ... An
empirical analysis on the substitutability between private consumption and government ...
Cited by 17 - Related articles - All 5 versions

Sectoral shocks and aggregate fluctuations

M Horvath - Journal of Monetary Economics, 2000 - Elsevier
... ψ controls the degree of risk aversion and is inversely proportional to the elasticity of intertemporal
substitution. ... by a CES index of intermediate input quantities, in (7), with elasticity of substitution ...
The firms' intertemporal decision at time t concerns the level of capital stock that is ...
Cited by 180 - Related articles - All 12 versions

The joint consumption/asset demand decision: a case study in robust estimation

MA Flavin - 1991 - nber.org
... is subject to a larger degree of habit persistence and a smaller elasticity of intertemporal
substitution than other ... estimates of equation (18) gave small and imprecise estimates of the
intertemporal substitution parameter, and ... 17- renters, Che implicit consumption series would ...
Cited by 29 - Related articles - All 7 versions

Consumption

[PDF] from uu.se
OP Attanasio - Handbook of macroeconomics, 1999 - Elsevier
... a famous paper, Hall (1978) used what is the main implication of the intertemporal optimisation
problem ... they act so to keep the expected (discounted) marginal utility of consumption constant ...
condition is equivalent to the equalisation of the marginal rate of substitution to relative ...
Cited by 312 - Related articles - SFX@cnb - BL Direct - All 13 versions

[PDF] Testing the life cycle model of consumption

[PDF] from unirioja.es
M Browning… - Investigaciones económicas, 1994 - dialnet.unirioja.es
... In this case the elasticity of intertemporal substitution is not constant. 5 See, for instance,
Hall (1988). ... The problem becomes even more serious if the elasticity of substitution is
not constant but a function of various demographic variables. ...
Related articles

Consumption-based asset pricing

[PDF] from princeton.edu
JY Campbell - Handbook of the Economics of Finance, 2003 - Elsevier
... I = 6 U'(Ck,t+ )/U'(Ck,t) is the intertemporal marginal rate of substitution of the ... but breaks the tight
link between the coefficient of relative risk aversion and the elasticity of intertemporal substitution
I discuss ... log 6 + Yg ( 17) 2 where g is the mean growth rate of consumption Since g ...
Cited by 402 - Related articles - SFX@cnb - All 26 versions

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[PDF] Consumption, income, and retirement

[PDF] from jstor.org
AL Robb… - Canadian Journal of Economics, 1989 - JSTOR
... Les resultats impliquent aussi que la forme fonctionnelle des equations d'Euler devrait etre
suffisamment ... recession (see Flavin, 1981) and how much is due to higher real interest rates or ...
the endogeneity of HNWR, we turn to our regression results for consumption and income. ...
Cited by 48 - Related articles - All 6 versions

House prices and real interest rates in Spain

J Ayuso, R Blanco… - 2006 - papers.ssrn.com
... st s s t st s s t t x E d E h q + ∞ = + ∞ 1 1 * δ ρ δ τ (6) where ( ) δ δ π − + + − = 1 u k h w
and τ is a constant that depends on both the elasticity of intertemporal substitution and
the elasticity of substitution between housing and consumption. ...
Cited by 5 - Related articles - All 5 versions

[PDF] Testing Consumption'based Asset Pricing Models with Factor Model Analysis

[PDF] from webmeets.com
CEC Gutierrez… - webmeets.com
... where φ / %/!% ρ" is the intertemporal elasticity of substitution in consumption and ... 1429'1446.
[14] Lusardi, A. (1996), qPermanent Income, Current Income and Consumption: Evidence ... [15]
Mulligan, C. (2002), qCapital, Interest, and Aggregate Intertemporal Substitution dur' ...
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A cointegration approach to estimating preference parameters

M Ogaki… - Journal of Econometrics, 1997 - Elsevier
... interpret the curvature parameter for nondurable consumption (xt ) as the longrun intertemporal
elasticity of substitution (IES) for ... When xl x2, good I has a lower total expenditure elasticity than
good 2 ... the longrun IES because it is harder to make an intertemporal substitution for a ...
Cited by 150 - Related articles - All 10 versions

[PDF] Long-run risks explanation of forward premium puzzle

[PDF] from duke.edu
R Bansal… - 2006 - faculty.fuqua.duke.edu
... (sensitivity) parameter, and ψ ≥ 0 is the intertemporal elasticity of substitution. ... sign of θ is
determined by the magnitudes of the risk aversion and the elasticity of sub- ... where the
inter-temporal marginal rate of substitution is Mt+1 and log(Mt+1) ≡ mt+1. The logarithm of the ...
Cited by 11 - Related articles - View as HTML

[PDF] Jari Viitanen

[PDF] from uef.fi
EONI CONSUMPTION… - 2004 - epublications.uef.fi
... Chapter 3: Risk Aversion and Intertemporal Substitution in Aggregate Consumption: Finland
1975 ... too rigid and inadequate to uncover reliably the consumer's consumption behaviour ... of relative
risk aversion (CRRA) and the constant elasticity of intertemporal substitution (EIS) are ...
Related articles - View as HTML - All 3 versions

Estimating panel models with internal and external habit formation

[PDF] from pdx.edu
GM Korniotis - Journal of Business and Economic Statistics, 2010 - ASA
... The Euler equation of the eco- nomic model with both types of habit formation produces a ... Such
a variable is the interest rate on Trea- sury bills, which is affected by ... are themselves determined
by economy- wide shocks that also influence state-level consumption growth, which ...
Cited by 32 - Related articles - SFX@cnb - All 7 versions

[PDF] TOHOKU ECONOMICS RESEARCH GROUP

[PDF] from tohoku.ac.jp
SI Nishiyama… - 2011 - econ.tohoku.ac.jp
... Key words: Cointegration, Elasticity of Intertemporal Substitution, Euler Equation JEL Classification:
C22, E21 ... Ogaki (1996). In this model, the intertemporal elasticity of substitution (IES) for ... (2005)
Cross-Euler Equation approach to test intertemporal and intratemporal ...
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[BOOK] Riches to Rags Every Month?: The Fall in Consumption Expenditures Between Paydays

[PDF] from iza.org
D Huffman… - 2004 - papers.ssrn.com
... pay period may be of interest to policy makers. Economists criticize in-kind transfer ... The
dependent variable, Cit, is the log of consumption expenditure by household i, during ...
equation).13 The first category includes diary weeks starting on payday and weeks ...
Cited by 12 - Related articles - All 11 versions

International evidence on sticky consumption growth

[PDF] from jhu.edu
CD Carroll, J Slacalek… - 2008 - nber.org
... cient α has the opposite sign to that predicted by either precautionary saving theory or
intertemporal substitution as channelled ... Second, the previous literature generally finds little evi-
dence of interest rate or precautionary saving effects in aggregate consumption data.16 ...
Cited by 22 - Related articles - SFX@cnb - BL Direct - All 44 versions

Consumption and credit: a model of time-varying liquidity constraints

[PDF] from jstor.org
S Ludvigson - Review of Economics and Statistics, 1999 - MIT Press
... Consider a model of intertemporal choice in which individuals maximize the infinite sum of
instantaneous ... t, t)] f(wt, t, t) , and substitute these definitions along with equation (12) into ... low,
their marginal value today is higher than the marginal value of consumption tomorrow, and ...
Cited by 145 - Related articles - SFX@cnb - BL Direct - All 16 versions

The consumption function: A theoretical and empirical overview

J Muellbauer… - Handbook of applied econometrics: …, 1995 - books.google.com
... 12 There are good reasons to believe that intertemporal substitutability is low: in other words,
consumers prefer consumption to be steady over ... to give the intuitively plausible results of higher
needs at s, leading to higher consumption at s, the elasticity of substitution a needs ...
Cited by 156 - Related articles - All 2 versions

The effects of health, wealth, and wages on labour supply and retirement behaviour

[PDF] from jstor.org
E French - Review of economic Studies, 2005 - Wiley Online Library
... allows me to identify key structural parameters such as the intertemporal elasticity of substitution
and the time ... Because older individuals are the ones most willing to substitute their labour supply ...
First, changes in work-hours and consumption affect neither health nor wages (other ...
Cited by 333 - Related articles - SFX@cnb - All 14 versions

[BOOK] Terms of Trade and Economic Fluctuations

[PDF] from tcmb.gov.tr
A Kırıcı - 1996 - tcmb.gov.tr
... motive is the elasticity of intertemporal substitution. The larger this ... These are within period
substitution parameter, ρ, and between periods substitution parameter ψ. ... Concerning the
intertemporal elasticity of substitution parameter there are two alternatives. ...
Cited by 2 - Related articles - View as HTML - All 3 versions

Risk & intertemporal substitution: Livestock portfolios & off-take among Kenyan pastoralists

[PDF] from ucdavis.edu
TJ Lybbert… - Journal of Development Economics, 2011 - Elsevier
... we disentangle relative risk aversion (RRA) and the elasticity of intertemporal substitution (EIS)
in ... Attanasio OP, Weber G. Intertemporal Substitution, Risk Aversion and the Euler Equation ...
Bommier A. Risk Aversion, Intertemporal Elasticity of Substitution and Correlation Aversion ...
Cited by 1 - Related articles - All 3 versions

Asset pricing tests with long run risks in consumption growth

[PDF] from lse.ac.uk
GM Constantinides… - 2008 - nber.org
... factor, > 0 is the coeffi cient of risk aversion, > 0 is the elasticity of intertemporal substitution, and $ =
1 ... is the natural logarithm of the intertemporal marginal rate of substitution; Et[.] denotes expectation ...
We substitute this expression into the set of Euler equations (6) to obtain a set ...
Cited by 29 - Related articles - All 21 versions

[PDF] Direct wealth preferencein an endowment economy

[PDF] from lu.se
A Kuznitz - 2001 - nek.lu.se
... 2However, direct empirical evidence for a low elasticity of intertemporal substitution in
consumption (Hall (1988), Campbell and Mankiw (1989)), implies that the generality of the
Epstein-Zin ... induced status, their intertemporal marginal rate of substitution (IMRS) depends not ...
Related articles - View as HTML - All 2 versions

[PDF] Re-evaluation of Housing and Wealth Effect in Korea

[PDF] from kdi.re.kr
J Kim… - International Conference of the Korea Development …, 2005 - kdi.re.kr
... with ε and σ being the elasticity of substitution between the two types of consumption
and the (inverse of) elasticity of intertemporal substitution, respectively. ... housing
consumption, respectively, are proxied by corresponding implicit ...
Cited by 2 - Related articles - View as HTML - All 4 versions

Do anticipated tax changes matter? Further evidence from the United Kingdom

FC Bagliano - Ricerche Economiche, 1994 - Elsevier
... set available in period t 1, It 1, (p measures the elasticity of intertemporal substitution, and e, is ...
Hall (1988) argues that the interpretation of (p as measuring intertemporal substitution is preferable. ...
and for the possibility that government expenditure may be a substitute for private ...
Cited by 2 - Related articles - All 9 versions

Transitional dynamics in two-sector models of endogenous growth

[PDF] from oxfordjournals.org
CB Mulligan… - 1992 - nber.org
... population growth , and 9 is the coefficient that measures the (constant) intertemporal elasticity
of substitution. ... capital goods is whether their accumulation is a perfect substitute for consumption
or ... introduction of adjustment costs in the transformation of consumption into physical ...
Cited by 505 - Related articles - BL Direct - All 16 versions

Habit persistence and keeping up with the Joneses: evidence from micro data

[TXT] from nyu.edu
E Ravina - NYU Working Paper No. FIN-05-046, 2005 - papers.ssrn.com
... The coefficient on the risk-free rate represents the Elasticity of Intertemporal Substitution (EIS). ...
to substitute consumption across different states of nature. ... prediction of city-level aggregate
consumption is the mortgage rate, followed by local unemployment and inflation rate. ...
Cited by 48 - Related articles - All 14 versions

[PDF] The effects of social security: Evidence for seventeen countries

[PDF] from psu.edu
P Evans - manuscript paper, Department of Economics, Ohio …, 2003 - Citeseer
... papers and my joint 1994 paper with Iftekhar Hasan pursue a similar approach in order to
investigate the effects of government debt on consumption. ... objective functions characterized by
a constant subjective discount rate and a constant elasticity of intertemporal substitution. ...
Cited by 1 - Related articles - View as HTML - All 3 versions

Consumption asset pricing and the term structure

[PDF] from mbs.ac.uk
S Hyde, M Sherif - The Quarterly Review of Economics and Finance, 2010 - Elsevier
... The slope coefficients, β 1 and β 2 , measure the inter-temporal elasticity of substitution (IES)
and can be interpreted as the reciprocal of the ... The evolution of S t is governed by a nonlinear
process which ensures that the habit level remains below consumption at all times. ...
Cited by 2 - Related articles - All 8 versions

[PDF] Intertemporal Substitution and Sectoral Comovement in a Sticky Price Model

[PDF] from lsu.edu
KH Kim… - 2010 - bus.lsu.edu
... In (2), the degree of non-separability is controlled by a parameter for the intertemporal elasticity
of substitution, σ. ... denotes the shadow value of durable consumption. ... elasticity substitution between
Ct and St is set to 1.17, based on the estimate from Ogaki and Reinhart (1998). ...
Cited by 1 - Related articles - View as HTML - All 3 versions

Learning and asset prices under ambiguous information

[PDF] from uzh.ch
M Leippold, F Trojani… - Review of Financial …, 2008 - Soc Financial Studies
... relative risk aversion is less than 1, or, equivalently, the elasticity of intertemporal substitution
(EIS) is ... determines consumption and investment plans and by solving the intertemporal
max–min ... risky assets and a positive saving demand needed to smooth consumption over time. ...
Cited by 38 - Related articles - SFX@cnb - All 18 versions

A Finance Approach to Estimating Consumption Parameters

D Dacy… - Economic Inquiry, 2011 - Wiley Online Library
... 9 We do not reject the Euler equation when we substitute the net real rate of ... 10. A. Previous Studies,
Models, Time Periods, Consumption Data and Findings. ... 4 gives the results of some of the estimates
of relative risk aversion and intertemporal elasticity of substitution from some ...
Related articles - SFX@cnb - All 6 versions

Do liquidity constraints and interest rates matter for consumer behavior? Evidence from credit card data

[PDF] from oxfordjournals.org
DB Gross… - 2001 - nber.org
... model parameters, such as the intertemporal elasticity of substitution. ... We also estimate the
elasticity of debt to interest rates, which is of independent interest. ... (See also Parker 1999.)
Ludvigson [1999] relates changes in aggregate consumption to changes in aggregate ...
Cited by 326 - Related articles - BL Direct - All 25 versions

[PDF] Tax incentives for household saving and borrowing

[PDF] from csef.it
T Jappelli… - World Bank Research Project: Taxation of Financial …, 2002 - csef.it
... the intertemporal elasticity of substitution; analysis of specific tax reforms. ... intertemporal
substitution in consumption. Since Hall's (1978) seminal contribution, the ... elasticity makes it
more likely that the substitution effect dominates the income effect, the Euler ...
Cited by 13 - Related articles - View as HTML - All 13 versions

[BOOK] Handbook of macroeconomics

JB Taylor… - 1999 - books.google.com
... Separating risk aversion and intertemporal substitution 1256 4. The dynamics of asset returns
and consumption 1260 4.1. ... documented a host of interesting stylized facts about the stock market
and its relation to short-term interest rates and aggregate consumption: (1) The ...
Cited by 140 - Related articles - All 8 versions

[PDF] Is public capital provision efficient?

[PDF] from unsw.edu.au
GD Otto… - Journal of Monetary Economics, 1998 - wwwdocs.fce.unsw.edu.au
... The subjective discount factor, the intertemporal rate of substitution and the depreciation rates ...
To obtain an accurate estimate of the intertemporal elasticity of substitution is likely to require
a ... a first- order moving average structure into the error terms of consumption-based Euler ...
Cited by 42 - Related articles - View as HTML - SFX@cnb - BL Direct - All 9 versions

[PDF] Submission Number: ASSET2009-09-00145

[PDF] from boun.edu.tr
O Sungur - econ.boun.edu.tr
... substitution and asset returns in the UK data. They conclude that the predictions of the ... the value
of elasticity of intertemporal substitution is partially due to ignoring household ... statistically significant
parameter estimates when consumption measures are calculated ...
Related articles - View as HTML

The GEL estimates resolve the risk-free rate puzzle in Japan

M Ito… - Applied Financial Economics, 2010 - Taylor & Francis
... Measuring the intertemporal elasticity of substitution for consumption: some evidence from Japan. ...
Finally, when we substitute the estimates that our reliability measure suggests are the best, the
EL estimates, into the formula of Kandel and Stambaugh (199118. ...
Cited by 2 - Related articles - SFX@cnb - All 4 versions

Advances in consumption-based asset pricing: Empirical tests

[PDF] from nyu.edu
SC Ludvigson - 2011 - nber.org
... the inverse of the elasticity of intertemporal substitution (EIS), could resolve the puzzle of low
real interest rates simultaneously with a high equity premium (the “risk-free rate ... therefore equal
to the intertemporal marginal rate of substitution (MRS) in consumption. ...
Cited by 4 - Related articles - All 8 versions

[BOOK] Consumption excess sensitivity, liquidity constraints and the collateral role of housing

[PDF] from fmlc.org
A Benito, H Mumtaz… - 2006 - papers.ssrn.com
... ( 15.1 ' #/) and $t'1 is iid and uncorrelated with any variable known at t. Equation (2) shows
that the coefficient on the interest rate term in a consumption growth equation should,
in principle, give an estimate of the intertemporal elasticity of ...
Cited by 20 - Related articles - All 8 versions

A multivariate model of strategic asset allocation

[PDF] from ust.hk
JY Campbell, YL Chan… - 2001 - nber.org
... The horizontal axis in the figure shows the intertemporal elasticity of substitution ψ, while the
vertical ... of its myopic nature, this component does not depend on ψ, the elasticity of intertemporal
substitution. ... A0/(1 − ψ) and −A1/(1 − ψ) are independent of the intertemporal elas- ticity ...
Cited by 321 - Related articles - BL Direct - All 34 versions

Moving costs, nondurable consumption and portfolio choice

[PDF] from unsw.edu.au
NL Stokey - Journal of Economic Theory, 2009 - Elsevier
... on the elasticity of substitution between housing and nondurables and on the elasticity of
intertemporal substitution. ... and nondurables, or higher risk tolerance (a higher intertemporal elas-
ticity). ... Appendix A The estimate of the intratemporal substitution elasticity uses the simple ...
Cited by 12 - Related articles - All 6 versions

Does financial reform raise or reduce saving?

[PDF] from jstor.org
O Bandiera, G Caprio, P Honohan… - Review of Economics …, 2000 - MIT Press
... and Fry (1995) conclude that more studies have found a positive interest elasticity of saving ... income
might reflect the inability of households to smooth the intertemporal pattern of ... the substitution
effect dominates the income effect), but more predictably reducing disintermediation ...
Cited by 243 - Related articles - SFX@cnb - All 25 versions

The consumption response to predictable changes in discretionary income: Evidence from the repayment of vehicle loans

[PDF] from uh.edu
M Stephens Jr - The Review of Economics and Statistics, 2008 - MIT Press
... repaid. If the interest rate falls when the household repays the loan, then
the household may rationally increase consumption at this time since the
intertemporal price of consumption has decreased. While ...
Cited by 32 - Related articles - SFX@cnb - All 11 versions

Private Consumption, Nontraded Goods and Real Exchange Rate: A Cointegration_Euler Equation Approach

KS Lin - 1996 - nber.org
... For the private agent's intertemporal optimal choice of consumption, the marginal rate of
substitution for the con- ... conditions relating to the intertemporal choice of consumption. Hence
the ... a lower income elasticity than goods Z (aZ > a=), then the stationarity of ...
Cited by 2 - Related articles - BL Direct - All 8 versions

Distortionary Taxation and Labor Supply: Evidence from Canada.

[PDF] from umontreal.ca
E Cardia, N Kozhaya… - 1999 - papyrus.bib.umontreal.ca
... specifications imply that the marginal disutility of work is constant, the intertemporal elasticity
of substitution is infinity ... Notice, however, that the intertemporal effects of movements in the tax
rate and ... in table 2. Recall that (15) includes both taxation and partial substitution of public ...
Cited by 2 - Related articles - All 11 versions

The Time-Series Properties of Aggregate Consumption: Implications for the Costs of Fluctuation

[PDF] from princeton.edu
R Reis - 2005 - nber.org
... Therefore, distinguishing between intertemporal substitution and risk aversion does not affect
the estimates of the costs of fluctuations. Moreover, the intertemporal elasticity of substitution ... of
the elasticity of intertemporal substitution affected the value attributed to the return on ...
Cited by 13 - Related articles - All 24 versions

Asset returns and intertemporal preferences

S Kandel… - Journal of Monetary Economics, 1991 - Elsevier
... When future utility is deterministic, then is the rate of time preference and 77 is the elasticity of
intertemporal substitution. ... This role of intertemporal substitution in the relation between interest
rates and expected consumption growth is well known [eg, Hall (1988)] and, in ...
Cited by 329 - Related articles - All 11 versions

International capital mobility: An alternative test based on intertemporal current account models

CH Huang - International Review of Economics & Finance, 2010 - Elsevier
... in the real interest rate will induce a rise in the current account through intertemporal substitution
effect, which is measured by the elasticity of intertemporal substitution σ. ... of the possible effects
of the terms-of-trade and the real interest rate on the consumption change, our ...
Cited by 1 - Related articles - All 6 versions

Consumption strikes back?: Measuring long-run risk

[PDF] from mecon.gov.ar
LP Hansen, J Heaton… - 2005 - nber.org
... We study how long-run risk depends on intertemporal substitution, on risk aversion and on ... In
addition to our substantive interest in such risk, there is a second and ... led Daniel and Marshall
(1997) to use an alternative frequency decomposition of the consumption Euler equation. ...
Cited by 122 - Related articles - All 36 versions

Have real interest rates really fallen that much in Spain?

[PDF] from bde.com.es
R Blanco… - Banco de España Research Paper No. WP- …, 2007 - papers.ssrn.com
... the positive effect of consumption growth on the marginal rate of substitution. ... rate falls in the second
sub-period for high values of the elasticity of intertemporal substitution. ... as preferences, technology
and the ability of agents to design intertemporal consumption and investment ...
Cited by 8 - Related articles - All 20 versions

By how much does GDP rise if the government buys more output?

[PDF] from jhu.edu
RE Hall - 2009 - nber.org
... services, c; it is the intertemporal elasticity of substitution and the reciprocal of the coefficient
of relative risk aversion. ... with higher government purchases are low values of intertemporal
substitution, σ, and high values of the elasticity of labor supply, ψ. ...
Cited by 121 - Related articles - All 23 versions

[PDF] Housing consumption-based asset pricing and residential mortgage default risk

[PDF] from usc.edu
M Zhang - 2009 - digitallibrary.usc.edu
... value of risk aversion parameter γ is well above 1 and the values of inverse of the intertemporal
elasticity of substitution (IES) 1/ψ is negative but larger than 1− ... intertemporal substitution. ... analytical
solution for the pricing kernel and only consider the intertemporal elasticity ...
Related articles - View as HTML - All 2 versions

[BOOK] Can subjective morality expectations and stated preferences explain varying consumption and saving behaviors among the elderly?

[PDF] from uni-mannheim.de
M Salm - 2006 - papers.ssrn.com
... The intertemporal elasticity of substitution is given by 1/ γi, the inverse of risk aversion. ... consumption
growth should increase with higher real interest rates and decrease with higher ... without the
assumption of log-normally distributed consumption growth rates from a 2 nd order ...
Cited by 10 - Related articles - All 29 versions

[PDF] Estimating Dynamic Euler Equations with Multivariate Professional Forecasts

[PDF] from queensu.ca
GW Smith… - 2010 - econ.queensu.ca
... some of the estimates. Our application is to the intertemporal, consumption Euler equation that
links nom- 1 Page 3. ... Researchers most often use the median forecast, here denoted Ejtπt+1,
and substitute it in the theory ... forecasts of inflation and consumption growth. ...
Cited by 1 - Related articles - View as HTML - All 6 versions

Growth, Expansion of Markets, and Income Elasticities in World Trade

Y Wu - Review of International Economics, 2008 - Wiley Online Library
... is the intertemporal discount factor, with 0 < β < 1, and σ > 0 is the elasticity of intertemporal
substitution. ... be viewed as an extreme benchmark, with the assumption of no intertemporal
smoothing in ... Figure 1. Krugman's 45-Degree Rule, Whole Sample, DOLS Elasticity Estimates. ...
Cited by 5 - Related articles - SFX@cnb - All 7 versions

[PDF] Household Consumption and Household Type: What Can We Learn from Mortgage Refinancing?

[PDF] from chicagobooth.edu
E Hurst - University of Chicago Graduate School of …, 1999 - faculty.chicagobooth.edu
... preference parameters relating to risk tolerance, time preference, and intertemporal substitution
for households ... ωi 2 /2 + b0 + b1), where γk is the intertemporal elasticity of substitution (1/ρk ... To
test whether household consumption responds to predictable changes in income, the ...
Cited by 7 - Related articles - View as HTML - All 2 versions

Individual needs and social pressure: Evidence on the Easterlin hypothesis using repeated cross-section surveys of Canadian households

[PDF] from free.fr
F Gardes, P Merrigan - Journal of Economic Behavior & Organization, 2008 - Elsevier
... estimated parameters of the minimum income equation to parameters of risk aversion or to the
intertemporal elasticity of substitution. ... The supplementary consumption is evaluated according
to its cost ... 6 −Y(∂ 2 V/∂Y 2 )/(∂V/∂Y) = 1 − β, and the Intertemporal Substitution Rate σ ...
Cited by 4 - Related articles - All 7 versions

Euler equation errors

[TXT] from nyu.edu
M Lettau… - Review of Economic Dynamics, 2009 - Elsevier
... by using the wrong functional form for the marginal rate of substitution in consumption ... to aggregate
consumption, C t , (1 )/(1 1/ ), is the intertemporal elasticity of substitution in consumption ... estimate
high values of risk aversion when fitting the standard consumption-based model ...
Cited by 26 - Related articles - BL Direct - All 26 versions

[PDF] Modelling Movements in Individual Consumption: A Time Series Analysis of Grouped Data♣

[PDF] from ucl.ac.uk
OP Attanasio… - homepages.ucl.ac.uk
... rates. This extension is of particular interest as allows one to estimate the elasticity of
intertemporal substitution. ... 7 Or martingale, to be precise. Page 13. 12 consumption (and
other variables)8. If we consider an asset whose rate of return is the same ...
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[PDF] The effects on consumption and saving of taxing asset returns

[PDF] from ifs.org.uk
O Attanasio… - by S. Adam, T. Besley, R. Blundell, S. Bond, R …, 2010 - ifs.org.uk
... the relative price of consumption at different points in time, and the Elasticity of Intertemporal
Substitution (EIS) plays ... One such assumption is that of inter-temporal separability, which implies ...
reinforce substitution effects and also lead to a decrease in consumption or increase in ...
Cited by 17 - Related articles - View as HTML - All 5 versions

Liquidity constraints and financial liberalization: the case for Asian developing countries

MS Habibullah… - Applied Economics Letters, 1999 - Taylor & Francis
... regression results for Equations 3 and 4 respectively.8 Our main interest is to determine whether
the proxies for finan- cial liberalization are signifi cantly different from zero ... Patterson, KD and
Pesaran, B. (1992) The intertemporal elasticity of substitution in consumption in the ...
Cited by 2 - Related articles - SFX@cnb - BL Direct - All 9 versions

Consumer confidence and consumption in Sweden

[PDF] from uu.se
L Berg - 1996 - papers.ssrn.com
... models of the Euler equation type and traditional solved-out consumption function. ... Variables
included in the model are real growth in net wealth, share prices, consumption expenditures,
inflation, the real interest rate and the rate of unemployment. ...
Cited by 27 - Related articles - All 11 versions

Intertemporal substitution and risk aversion

LP Hansen, J Heaton, J Lee… - Handbook of Econometrics, 2007 - Elsevier
... View the MathML source The parameter ρ is the reciprocal of the elasticity of intertemporal
substitution. ... Intertemporal substitution is now determined by more than just ρ: in particular the ...
real interest rates, but used a specification with quadratic adjustment costs in consumption. ...
Cited by 37 - Related articles - All 5 versions

Stochastic components of individual consumption: a time series analysis of grouped data

[PDF] from ucl.ac.uk
O Attanasio… - 2006 - nber.org
... smoothness is related to the violation of the intertemporal budget constraint with a single asset
and ... the innovation to income and consumption at the business cycle frequency. To remove
deterministic changes, therefore, we regress the variables of interest on a cohort ...
Cited by 4 - Related articles - BL Direct - All 14 versions

Atheoretical and theory-based approaches to the natural equilibrium real interest rate

P Arestis… - Eastern Economic Journal, 2008 - palgrave-journals.com
... That is, the IS or preference shocks are determined by consumption interest rates and prices. ...
In particular, they are functions of the degree of habit formation in consumption (h), the
intertemporal elasticity of substitution (σ), the discount factor (β), and the AR coefficient of the ...
Cited by 6 - Related articles - SFX@cnb - BL Direct - All 11 versions

[PDF] Non-linear Modelling of Household Consumption: an Examination of a Closed-form Life-Cycle Model

[PDF] from psu.edu
R Riley… - … PAPERS-NATIONAL INSTITUTE OF ECONOMIC AND …, 2003 - Citeseer
... 2 The discount rate is assumed to equal the rate of interest so that the intertemporal elasticity
of substitution does not enter into the calculations. ... Unless the elasticity of substitution is large
per capita consumption of food should be expected to increase with size. ...
Cited by 1 - Related articles - View as HTML - BL Direct - All 11 versions

Consumer Durables And The Interest Rate

K Hong - International Economic Journal, 2003 - Taylor & Francis
... Ogaki and Reinhart (1998) show that, when the intratemporal substitution effect is sufficiently ...
non-separable in durables and non-durables, the estimator of the intertemporal elasticity of
substitution that is ... the standard PIH is rejected as a model for durables consumption and the ...
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UK consumers' habits

[PDF] from psu.edu
R Banerjee… - 2011 - papers.ssrn.com
... (4) where t c is the natural logarithm of consumption, t C ; the real rate, rt , is now time-varying;
and the parameter y > 0 represents the intertemporal elasticity of substitution in private spending,
alias, in this simple case, the real interest elasticity of consumption. ...
Cited by 17 - Related articles - All 12 versions

[BOOK] Net foreign assets and imperfect financial integration: An empirical approach

[PDF] from bcentral.cl
J Selaive… - 2003 - papers.ssrn.com
... The conditions characterizing the allocation of do- mestic and foreign consumption and holding
of nominal ... (5) In the equations, b is the intertemporal discount fac- tor; f(.) depends on the real ...
rate differential to changes in the NFA position.11 The higher the elasticity, the larger ...
Cited by 9 - Related articles - All 19 versions

[PDF] Tax based savings incentives

[PDF] from worldbank.org
T Besley… - unpublished typescript prepared …, 1998 - siteresources.worldbank.org
... and where 7 ^ 1/a is the elasticity of intertemporal substitution and β is the personal discount ... the
interest rate on savings still depends on the sign of the intertemporal elasticity of substitution,
but its ... low net worth individuals are also likely to have lower intertemporal elasticities of ...
Cited by 20 - Related articles - View as HTML - All 2 versions

The Impact of the 1986 Tax Reform Act on Personal Saving

J Skinner… - 1990 - nber.org
... Savina. and Conumotion The impact of a change in the interest rate on saving is ambiguous.
The substitution effect induces investors to save more in response to a ... and thus depress current
consumption - - tends to imply a positive saving elasticity Yet the empirical ...
Cited by 59 - Related articles - All 7 versions

[HTML] EFFICIENCY IN THE PROVISION OF PUBLIC AND PRIVATE CAPITAL IN 15 OECD COUNTRIES Investigaciones Económicas, mayo, año/vol. XXX, número …

[HTML] from uaemex.mx
JE BOSCÁ, A CUTANDA… - investigaciones …, 2006 - redalyc.uaemex.mx
... 9. Campbell and Mankiw (1991) obtain an estimate of the elasticity of intertemporal. substitution
that is as often positive as negative and it is never statistically sig-. nificant. ... elasticities and of
the coe!cient related to the intertemporal elasticity. of substitution. ...
Related articles - Cached

Consumption and real exchange rates in professional forecasts

[PDF] from queensu.ca
MB Devereux, GW Smith… - Journal of International Economics, 2011 - Elsevier
... says that the ex-post ratio of intertemporal marginal rates of substitution should equal ... we
have:(3) ∀ i, j = 1, …, N, where γ is the common elasticity of intertemporal substitution. ... Since
consumption and real exchange rates are determined simultaneously in almost any theoretical ...
Cited by 13 - Related articles - SFX@cnb - All 29 versions

[PDF] Efficiency in the provision of public and private capital in 15 OECD countries

[PDF] from funep.es
JE Boscá, A Cutanda… - investigaciones económicas, 2006 - funep.es
... providing a generally accepted value for the elasticity of intertem- poral substitution. ... Campbell
and Mankiw (1991) obtain an estimate of the elasticity of intertemporal substitution that is ... two
output elasticities and of the coe!cient related to the intertemporal elasticity of substitution. ...
Related articles - View as HTML - All 13 versions

[PDF] Tests of the CCAPM in the Philippines: 1987-2000

[PDF] from upd.edu.ph
RQ Aquino - cba.upd.edu.ph
... is known as the intertemporal marginal rate of substitution, the pricing kernel, or the stochastic ...
relative risk aversion γ is equal to the elasticity of intertemporal substitution ψ. ... parameters of
nonlinear models and has been extensively used in the recent past in intertemporal ...
Related articles - View as HTML - All 4 versions

The impact of population aging on savings, investment and growth in the OECD area

[PDF] from uni-mannheim.de
A Börsch-Supan - 2005 - eprints.bib.uni-mannheim.de
... gross rate of time preference. The factor of proportionality between the difference
in interest and time preference rates and the relative change in consumption
is the intertemporal elasticity of substitution, σ. The larger ...
Cited by 106 - Related articles - All 8 versions

The transfer problem revisited: Net foreign assets and real exchange rates

[PDF] from jstor.org
PR Lane… - Review of Economics and Statistics, 2004 - MIT Press
... low relative to its future value, this encourages present over future consumption, as the
consumption-based real ... However, it also encourages substitution from traded to nontraded goods ...
The former effect dominates if the intertemporal elasticity of substitu- tion, , is greater that the ...
Cited by 131 - Related articles - SFX@cnb - All 8 versions

Household's preferences and monetary policy inertia

[PDF] from whiterose.ac.uk
A Flamini… - Economics Letters, 2010 - Elsevier
... policy inertia via std(it it 1). We find that the elasticity of intertemporal substitution (EIS) and ... can
also be associated with either a large elasticity of substitution, or a ... Economic Review, 17 34 [10]
Okubo, M., 2008, On the Intertemporal Elasticity of Substitution under Nonhomothetic ...
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Tests for a systematic risk component in deviations from uncovered interest rate parity

[PDF] from jstor.org
TH McCurdy… - The Review of Economic …, 1991 - restud.oxfordjournals.org
... With a specification of preferences allowing identification of separate parameters relating to risk
aversion and intertem- poral substitution, a unit elasticity of intertemporal substitution implies
myopic choice of consumption and savings while relative risk aversion of unity ...
Cited by 73 - Related articles - SFX@cnb - All 8 versions

Have real interest rates really fallen that much in Spain?

[PDF] from unirioja.es
R Blanco Escolar… - Revista de economía …, 2011 - dialnet.unirioja.es
... Parameter γ measures the intertemporal substitution attitudes of households and a is a parameter
that ... rate falls in the second sub-period for high values of the elasticity of intertemporal substitution. ...
and the ability of agents to design in- tertemporal consumption and investment ...
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Is there a direct effect of money?:: Money's role in an estimated monetary business cycle model of the Japanese economy

[PDF] from osaka-u.ac.jp
I Fujiwara - Japan and the World Economy, 2007 - Elsevier
... ω 2 becomes positive, only when utility is non-separable between consumption and real ... the Bank
of Japan resumed the de-facto zero nominal interest rate policy ... Transforming this into quarterly
bases with considering that the intertemporal elasticity of substitution is now set at ...
Cited by 2 - Related articles - All 8 versions

House Prices and Consumption

[PDF] from uni-muenchen.de
IH Song - 2010 - mpra.ub.uni-muenchen.de
... than, equal to or less than the inverse of the marginal rate of intertemporal elasticity of substitution. ...
The intertemporal marginal rate of substitution, weighted by the nominal in- terest rate ... Equation
(5) determines the marginal rate of substitution between housing and consumption ...
Cited by 3 - Related articles - All 7 versions

[PDF] Alternative monetary rules for a small open economy: The case of Canada

[PDF] from paulaarnold.com
F Ghironi - Boston College Econ. Dept. WP, 2000 - paulaarnold.com
... 8 I restrict the intertemporal elasticity of substitution in utility from money holdings to equal the
elasticity of substitution in ... The representative domestic consumer maximizes the intertemporal
utility function (1) subject to the constraints (2) and (3). Dropping the j superscript ...
Cited by 24 - Related articles - View as HTML - All 11 versions

[PDF] Houses as Collateral: Has the Link between House Prices and Consumption in the UK changed?

[PDF] from frb.org
K Aoki, J Proudman… - Federal Reserve Bank of New York …, 2002 - ny.frb.org
... deposit, they obtain less favourable interest rates when renegotiating their mortgage and have ...
Thus, the household faces a choice between current consumption and a cheaper ... payment—would
depend on such factors as the elasticity of intertemporal substitution, the sensitivity ...
Cited by 90 - Related articles - View as HTML - All 26 versions

[PDF] Is the relative risk aversion low or precautionary savings high?

[PDF] from utu.fi
T Kortela - taloustiede.utu.fi
... intertemporal elasticity of substitution (IES) and the subjective time preference of households.
It ... the intertemporal and precautionary motives for saving, ie it gives ¯Kim. ... where government
consumption is assumed to be a perfect substitute for private consumption. ...
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Initial Expectations in New Keynesian Models with Learning

[PDF] from winona.edu
J Murray - Caepr Working Papers, 2008 - papers.ssrn.com
... lump sum taxes. The preference parameters are the intertemporal elasticity of substitution, ... θ ∈
(1,∞) is the elasticity of substitution in production. Profit maximization leads to the ... µ + 1 ) zt = 0.
One can solve this equation for zt and substitute it back into the equation for marginal ...
Cited by 1 - Related articles - All 11 versions

[PDF] The intertemporal approach to the current account and currency crises

[PDF] from cam.ac.uk
S Saksonovs - Darwin College Research Report, 2006 - darwin.cam.ac.uk
... for estimating (2.9) is the value of 1/σ interpreted as the intertemporal elasticity of substitution. ...
2000) find that the model performs best with low values of intertemporal elasticity of ... fit of the model
that do not depend on differing consumer preferences for intertemporal substitution. ...
Cited by 8 - Related articles - View as HTML - All 7 versions

[PDF] A Consumption CAPM with a Reference Level¤

[PDF] from eea-esem.com
E Renault… - eea-esem.com
... the reference level is then quite naturally ½ = 1 ¡ '; with the elasticity of intertemporal substitution
¾ = 1 ... natural disentangling between risk aversion and intertemporal substitution. ... Since, according
to the habit formation approach, the reference consumption level St is supposed ...
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[PDF] A note on the economics and statistics of predictability: A long run risks perspective

[PDF] from upenn.edu
R Bansal, D Kiku, A Yaron - … Duke University and …, 2007 - savage.wharton.upenn.edu
... coefficient of risk aversion, θ = 1−γ 1− 1 ψ , and ψ is the elasticity of intertemporal substitution
(IES). ... Epstein, Larry G., and Stanley E. Zin, 1989, Substitution, risk aversion, and the intertemporal
behavior of consumption and asset returns: A theoretical framework, ...
Cited by 16 - Related articles - View as HTML - All 5 versions

[BOOK] Risk aversion and the subjective time discount rate: A joint approach

[PDF] from cesifo-group.de
BMS Van Praag, AS Booij… - 2003 - papers.ssrn.com
... of the elasticity of intertemporal substitution between 0.158 and 0.351 and estimates
of relative risk aversion between 2.849 and 6.329. ... aversion, the discount rate and the
elasticity of substitution by Issler and Piqueira (2000) using ...
Cited by 44 - Related articles - All 23 versions

On the price of recreation goods as a determinant of male labor supply

[PDF] from unirioja.es
J González Chapela - Working papers= Documentos de trabajo …, 2007 - dialnet.unirioja.es
... represent the elasticity at which C* is intertemporally substituted, the elasticity of intertemporal
substitution of the whole recreation activity, and the elasticity of contemporaneous ... The population
parameters β1 and β2 are the elasticities of intertemporal substitution of market ...
Cited by 13 - Related articles - BL Direct - All 18 versions

The empirical relevance of a basic sticky-price intertemporal model

[PDF] from gla.ac.uk
M Giuliodori - 2001 - dspace.gla.ac.uk
... elasticity of money demand, the elasticity of intertemporal substitution is equal to 1 and the ... In
particular, Obstfeld and Rogoff (1996) point out that an intertemporal non-separable utility function
would yield ... z)/P = p*(z)/P* for any good z, we can determine the constant-elasticity-of- ...
Cited by 1 - Related articles - All 14 versions

Intertemporal substitution in consumption: an American investigation for Brazil

[PDF] from fgv.br
CB Cavalcanti - Brazilian Review of Econometrics, 1993 - bibliotecadigital.fgv.br
... relevant in the case of financed government spending, as inter temporal substitution in
consumption ... for the liquidity constrained consumers, and even in this case the intertemporal
elasticity of substitution is less ... of an increase in real interest rates outweighs the substitution effect ...
Cited by 22 - Related articles - All 2 versions

[PDF] A Consumption-Based Explanation of Momentum Profits

[PDF] from unine.ch
BK Min - unine.ch
... The parameter 0 <β< 1 is the subjective discount factor, γ is the relative risk aversion, ψ
is the elasticity of intertemporal substitution (EIS). This ... 1, (5) which implies that the
intertemporal marginal rate of substitution (IMRS) is Mt+1 = βθ(Ct+1 Ct ...
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Government expenditure and equilibrium real exchange rates

[PDF] from wvu.edu
RJ Balvers… - Journal of International Money and Finance, 2002 - Elsevier
... results from estimating these equilibrium conditions and finds plausible estimates of the elasticity
of intertemporal substitution (approximately one ... utility function in a “separable way,” implying
that the marginal rate of intertemporal substitution in private consumption “does not ...
Cited by 22 - Related articles - All 19 versions

[PDF] An empirical investigation of money demand: evidence from a cash-in-advance model

[PDF] from jstor.org
K Sill - Canadian Journal of Economics, 1998 - JSTOR
... where 1/'} is the intertemporal elasticity of substitution and the share parameter at is a function
of time ... of substitution of cash for credit goods at time t. Rather, it affects substitution intertemporally ...
applied to Euler equations (5) and (6), which fully capture the intertemporal trade-offs ...
Cited by 2 - Related articles - BL Direct - All 4 versions

Fiscal policy in good times and bad

[PDF] from oxfordjournals.org
Full View
R Perotti - The Quarterly Journal of Economics, 1999 - qje.oxfordjournals.org
... as- suming for simplicity that both the rate of time preference and the interest rate are ... However,
the expected PDV of taxation also increases by (1 + 00 ) by the intertemporal govern- ment ... in
expenditure and taxation should have no effect on the change in consumption once the ...
Cited by 401 - Related articles - SFX@cnb - BL Direct - All 16 versions

The implications of first-order risk aversion for asset market risk premiums

G Bekaert, RJ Hodrick… - Journal of Monetary Economics, 1997 - Elsevier
... It is of interest, then, to consider a class of (nonexpectedutility) preferences that ... correspond to
the elasticity of substitution between current and future consumption (as studied ... The more
conventional notion of intertemporal substitution elasticity is a function of all the preference ...
Cited by 146 - Related articles - BL Direct - All 13 versions

Consumption-smoothing in a small, cyclically volatile open economy: Evidence from New Zealand

[PDF] from victoria.ac.nz
K Kim, VB Hall… - Journal of International Money and Finance, 2006 - Elsevier
... VAR in first order form.) Making use of View the MathML source and substitution into Eq ... σ is the
intertemporal elasticity of substitution and α is the share of traded goods in total consumption
expenditure ... C=C T +PC NT , and View the MathML source is the consumption based real ...
Cited by 15 - Related articles - All 8 versions

[PDF] Assessing changes in the monetary transmission mechanism: a VAR approach

[PDF] from psu.edu
J Boivin… - Federal Reserve Bank of New York Economic …, 2002 - Citeseer
... In this case, the parameter ¾ is associated with the elasticity of intertemporal substitution in
consumption. For simplicity, we assume that the central bank conducts monetary policy by
setting the short-term real interest rate. This is clearly a simplification. ...
Cited by 123 - Related articles - View as HTML - All 27 versions

Empirical Evidence for State and Time Separable Preferences: Case Finland

N Virk - 2012 - papers.ssrn.com
... specified utility function is estimated with the additional straitjacket of invertible relationship
between RA and elasticity of intertemporal substitution (EIS). ... random components of the
intertemporal decision problem building on Koopmans (1960) for ... substitution parameter. ...

Consumption volatility risk

[PDF] from cmu.edu
O Boguth… - EFA 2009 Bergen Meetings Paper, 2009 - papers.ssrn.com
... Implicit in the utility function (4) is a constant elasticity of substitution (CES) time aggregator and
CES ... Epstein-Zin preferences provide a separation of the elasticity of intertemporal substitution ...
Intuitively, the EIS measures the agents willingness to postpone consumption over ...
Cited by 14 - Related articles - All 11 versions

A small open economy DSGE model for Pakistan

[PDF] from uni-muenchen.de
A Haider… - 2008 - mpra.ub.uni-muenchen.de
... which describe rate of time preferences, σ is the inverse of the elasticity of intertemporal
substitution in consumption ... parameter, 0 ε > is the elasticity of intratemporal substitution among
goods produced to be same in ... tt t t PW Ξ = , Therefore, intertemporal consumption choice is ...
Cited by 8 - Related articles - All 11 versions

The intertemporal approach to the current account

[PDF] from wisc.edu
M Obstfeld… - Handbook of international economics, 1995 - Elsevier
... 1/'~ - 1 u(C) - 1 - 1/o" with o- > 0 the elasticity of intertemporal substitution, In this ... importance of
the transfer effect in policy discussions, the development of empirical intertemporal models that ...
country good M. Moreover, assume that in both countries p, the elasticity of substitution ...
Cited by 511 - Related articles - SFX@cnb - BL Direct - All 14 versions

[PDF] Accounting for Human Capital and Weak Identification in Evaluating the Epstein-Zin-Weil Non-Expected Utility Model of Asset Pricing

[PDF] from aeaweb.org
Q Zhang - CIRJE F-Series, 2004 - aeaweb.org
... coefficient (RRA) or the elasticity of intertemporal substitution for consumption (EIS) was near ...
7 Lucas (1990) pointed out that to understand the cross-country differences in interest rates and ...
the consumption and the household net worth data in Lettau and Ludvigson (2004), the ...
Cited by 3 - Related articles - All 15 versions

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[PDF] Relative risk aversion is constant: Evidence from panel data

[PDF] from univpm.it
PA Chiappori… - DES, University of Naples, Discussion …, 2008 - sie.univpm.it
... parameters, portfolio composition only de- pends on risk aversion and not on the intertemporal
elasticity of substitution, ... which focus on the relationship between the rate of growth of consumption
and real ... the coefficient on log Wh,t would measure the average elasticity of risky ...
Cited by 28 - Related articles - View as HTML - All 7 versions

WHY DO EUROPEANS WORK SO LITTLE?*

[PDF] from su.se
C Olovsson - International Economic Review, 2009 - Wiley Online Library
... GDP/Capita, 1, 1.31. The intertemporal elasticity of substitution for consumption is set to 0.5, which
implies γ= 2. 33 Parameter μ determines the intertemporal (Frisch) elasticity ... 35 Since estimates
for women are generally higher, I set μ to 5, implying a Frisch elasticity around 0.48 ...
Cited by 29 - Related articles - SFX@cnb - All 14 versions

Consumption, income and cointegration

HL Han… - International Review of Economics & Finance, 1997 - Elsevier
... presented a version of the permanent income hypothesis (PIH) with a constant intertemporal
elasticity of substitution Direct all ... (1991) considered consumption, income and interest rate in ... TF
Cooley and M. Ogaki , A time series analysis of real wages, consumption and asset ...
Cited by 16 - Related articles - BL Direct - All 6 versions

[BOOK] The predictive power of the yield spread: Further evidence and a structural interpretation

[PDF] from google.com
CA Favero, I Kaminska, U Söderström… - 2005 - papers.ssrn.com
... determined by an intertemporal Euler equation (see, for example, Woodford (2003)), ... short rates
to substitute for ex-ante expected rates, while Ang et al. (2004) use a ... 19 X j=0E£i1 t+j \ It¤ + TPt,
(2) where i20 t is the five-year interest rate, i1 t is the three-month interest rate, It is ...
Cited by 16 - Related articles - All 17 versions

Monetary Policy and the Uncovered Interest Parity Puzzle

[PDF] from cmu.edu
DK Backus, F Gavazzoni, C Telmer… - 2010 - nber.org
... The marginal rate of intertemporal substitution, defined as nt+1, is ... (15) The nominal marginal
rate of substitution — the pricing kernel for claims denom- inated in USD units — is then ... Without
policy shocks endogenous inflation will depend only on consumption shocks. ...
Cited by 11 - Related articles - All 12 versions

Consumption and saving over the life cycle: how important are consumer durables?

[PDF] from upenn.edu
J Fernandez-Villaverde… - Proceedings of the 2002 …, 2002 - Cambridge Univ Press
... often with a focus on quantifying key structural parameters, especially the elasticity of substitution ...
durables (and no accumulation of financial assets) early in life and substitution toward higher ...
intertemporal trade by endogenous borrowing constraints, as explained below in detail ...
Cited by 175 - Related articles - All 22 versions

[BOOK] Perspectives on low global interest rates

L Catão… - 2006 - books.google.com
... Page 15. -12- - grounds, however, the impact on saving cannot be determined, because the
substitution effect entailed by the decline in interest rates increases the cost of postponing
consumption. This tends to offset to some degree the income effect. ...
Cited by 6 - Related articles - All 8 versions

Understanding the dynamic effects of government spending on foreign trade

[PDF] from uni-hamburg.de
GJ Müller - Journal of International Money and Finance, 2008 - Elsevier
... If the elasticity of intertemporal substitution is high relative to the elasticity of intratemporal
substitution, net exports ... ɛ > 0 provides a measure for the intratemporal elasticity of substitution
between the ... Let μ > 1 denotes the price elasticity of demand for differentiated output goods. ...
Cited by 30 - Related articles - SFX@cnb - All 13 versions

Risk, uncertainty and exchange rates

[PDF] from columbia.edu
RJ Hodrick - 1989 - nber.org
... In a certainty environment, the elasticity of intertemporal substitution that describes the percentage
change in ... predictions of the monetary approach only when the intertemporal elasticity of
substitution is high ... The results are reversed if intertemporal substitution is low (7 > 1 and S ...
Cited by 209 - Related articles - All 11 versions

[PDF] Risk and return in bond, currency, and equity markets

[PDF] from ubc.ca
R Bansal… - unpublished paper, Duke …, 2007 - finance.sauder.ubc.ca
... an intertemporal elasticity of substitution near one. 9 Page 12. ... In this case the intertemporal
substitution effect dominates the wealth effect. In response to higher expected growth, agents
buy more assets, and consequently the wealth to consumption ratio rises. ...
Cited by 40 - Related articles - View as HTML - All 7 versions

Household intertemporal behaviour: A collective characterization and a test of commitment

[PDF] from duke.edu
M Mazzocco - Review of Economic Studies, 2007 - Wiley Online Library
... Proposition 5The private household Euler equations for the no-commitment inter-temporal
collective model can ... Suppose also that the correct model of household intertemporal behaviour
is the full ... quarters, for each household in each quarter, I use only the consumption data for ...
Cited by 95 - Related articles - SFX@cnb - BL Direct - All 16 versions

[BOOK] Efficiency in the provision of public and private capital in 17 OECD countries

[PDF] from wu-wien.ac.at
JE Boscá, A Cutanda… - 2000 - www-sre.wu-wien.ac.at
... with σ#1. Notice that 1/(1-σ) is the intertemporal elasticity of substitution and 1-σ the ... the
intertemporal marginal rate of substitution for a representative consumer, which is a ... 20 The
estimation of the elasticity of intertemporal substitution is not the aim of this work, especially when ...
Cited by 1 - Related articles - View as HTML - All 11 versions

A Long-Run Risks Model of Asset Pricing with Fat Tails*

[PDF] from fiu.edu
ZG Wang… - Review of Finance, 2010 - rof.oxfordjournals.org
... model with the magnitudes of risk aversion and elasticity of intertemporal substitution being 4 ...
discount factor, the risk aversion coefficient and the intertemporal elasticity of substitution (IES),
respectively. ... is often called the “Intertemporal Marginal Rate of Substitution” (IMRS) or ...
Cited by 2 - Related articles - SFX@cnb - All 18 versions

Intertemporal preference parameters for some European monetary union countries

[PDF] from cnrs.fr
EM de la Cruz, AR Martinez-Canete… - Applied …, 2007 - Taylor & Francis
... In this article, we have focused our attention on the elasticity of intertemporal substitution, one
of ... Intratemporal Elasticity of Substitution in Germany, Spain and France. ... Estimation of intertemporal
elasticity of substitution by the GMM method also requires the series employed to be ...
Cited by 1 - Related articles - SFX@cnb - BL Direct - All 9 versions

Do Nontraded Goods Explain the Home Bias Puzzle?

P Pesenti… - 1996 - nber.org
... intratemporal substitution between tradables and nontradables consumption is smaller than the
intertemporal elasticity of substitution. ... For instance, if 7 = 0 (infi- nite elasticity of intertemporal
substitution) it is immediate ... from 0 to 3), holding the intratem- poral elasticity constant at ...
Cited by 20 - Related articles - BL Direct - All 8 versions

[BOOK] Gaining Credibility and Enhancing Economic Growth through Regional Integration. The Case for EU Membership of Eastern Europe

D Piazolo… - 1997 - papers.ssrn.com
... to the new steady-state, depending on the intertemporal elasticity of substitution. ... However, it is
the elasticity of intertemporal substitution in consumption that explains the time paths of ... with
constant intertemporal substitution) investment will be high and the transition to the new ...
Cited by 13 - Related articles - BL Direct - All 5 versions

Estimation of the consumption CAPM with imperfect sample separation information

A Semenov - International Journal of Finance & Economics, 2008 - Wiley Online Library
... in the cross-section, PNt i¼1 witšjŽdšCi;tž1=CitŽĄg is identical to the cross-sectional expectation
of the intertemporal marginal rate of substitution, Ei½dšCi;tž1 ... argued that the decisions to acquire
assets are likely to be endogenous with respect to the consumption decisions. ...
Cited by 1 - Related articles - SFX@cnb - All 5 versions

Housing Markets and Current Account Dynamics

[PDF] from uni-muenchen.de
P Gete - MPRA Paper, 2010 - papers.ssrn.com
... "- 1 " ! (7) where σ is the elasticity of intertemporal substitution (IES) as well as the inverse of the
coeffi % ... The increase in θ" shifts the marginal rate of substitution as in the closed ... Section 4.1,
for the mechanism to work there is a trade%off between the intertemporal elasticity ...
Cited by 18 - Related articles - All 17 versions

Subjective mortality expectations and consumption and saving behaviours among the elderly

M Salm - Canadian Journal of Economics/Revue canadienne …, 2010 - Wiley Online Library
... The intertemporal elasticity of substitution is given by 1/γ, the inverse of risk aversion. ... t. Equation
(6) postulates that expected consumption growth should increase with higher real interest rates
and ... ĥ i,t is included in regression equation (7) as a proxy for overall consumption risk ...
Cited by 4 - Related articles - SFX@cnb - All 8 versions

Life-cycle behaviour of US households:: A nonlinear GMM estimation on pseudopanel data

M Beine, F Bismans, F Docquier… - Journal of policy modeling, 2001 - Elsevier
... rather than from calibration ones, our estimate for the intratemporal elasticity of substitution (0.942)
is ... The intertemporal elasticity of substitution is rather low. ... On the goods market, the relative
weakness of the elasticity of intertemporal substitution (combined with the durability of ...
Cited by 6 - Related articles - BL Direct - All 11 versions

Consumption demand

[PDF] from ucl.ac.uk
OP Attanasio - 1998 - nber.org
... consumption (and saving) decisions are taken as a part of an intertemporal decision process. ...
I will consider, they have in common the hypothesis that consumption decisions are ... for their
assumptions about optimisation horizon, uncertainty, curvature of the Interest readers can ...
Cited by 51 - Related articles - BL Direct - All 12 versions

Micro data and general equilibrium models

[PDF] from cenet.org.cn
M Browning, LP Hansen… - Handbook of macroeconomics, 1999 - Elsevier
... a is irrelevant in an environment without uncertainty, but the intertemporal elasticity of substitution ( -
l / p ... heterogeneity in discount rates and intertemporal elasticities of substitution, the efficient ... of
relative risk aversion without linking it to the elasticity of intertemporal substitution. ...
Cited by 344 - Related articles - SFX@cnb - BL Direct - All 12 versions

Uncertainty and consumer durables adjustment

[PDF] from jstor.org
G Bertola, L Guiso… - Review of Economic Studies, 2005 - Wiley Online Library
... The marginal rate of substitution only depends on the ratio of the ... is not only intratemporally
homothetic, but also displays unitary intertemporal elasticity of substitution, then the ... source of
uncertainty, preferences are homothetic with unitary intertemporal elasticity, and adjustment ...
Cited by 39 - Related articles - SFX@cnb - BL Direct - All 27 versions

The dynamic behavior of the real exchange rate in sticky price models

[PDF] from sedlabanki.is
J Steinsson - 2008 - nber.org
... of intertemporal substitution. ... HP-filtered real exchange rate relative to HP-filtered output if the
coefficient of intertemporal ... t > 1 denote the elasticity of substitution at time t between the
differentiated goods produced in the home country and foreign country, respectively. ...
Cited by 39 - Related articles - BL Direct - All 22 versions

Consumption and children

[PDF] from ox.ac.uk
M Browning… - The Review of Economics and Statistics, 2009 - MIT Press
... first formal incorporation of demographics in micro-estimation of inter- temporal consumption
relationships is ... 3 This intertemporal substitution explanation argument is closely related to the ...
in disrepute as a vehicle for estimating the elasticity of intertemporal substitution (see, for ...
Cited by 56 - Related articles - SFX@cnb - All 20 versions

[PDF] The Curse of Irving Fisher (Professional Forecasters' Version)

[PDF] from hku.hk
GW Smith… - … of Economics, Queen's University, Working Paper, 2007 - sef.hku.hk
... gross returns on assets to an intertemporal, marginal rate of substitution (IMRS), this ... Researchers
most often use the median forecast, here denoted Ejtπt+1, and substitute it in the theory ... from
quarter to quarter, do not align completely with those of inflation and consumption- ...
Cited by 3 - Related articles - View as HTML - All 8 versions

A life cycle analysis of social security

[PDF] from jstor.org
A İmrohoroglu, S Imrohoroglu… - Economic Theory, 1995 - Springer
... There seems to be a wide range of empirical estimates for the intertemporal elasticity of
substitution, 1/7. Hurd's (1989) estimates are 1.4 and ... For example, Hall (1988) uses annual data
on consumption and estimates negative values for the intertemporal elasticity of ... substitution. ...
Cited by 263 - Related articles - SFX@cnb - All 6 versions

[PDF] Extrapolative expectations and the equity premium

[PDF] from stanford.edu
JJ Choi - Yale University, 2006 - stanford.edu
... 2.2 Elasticity of intertemporal substitution ... and Attanasio (2003) use a similar method- ology, they
find that accounting for taxes yields elasticity estimates between 1.03 ... 12 Notice that if noise traders
were to incorporate intertemporal hedging into their portfolio rule, the riskfree ...
Cited by 12 - Related articles - View as HTML - All 8 versions

Finite sample evidence of IV estimators under weak instruments

[PDF] from iwh-halle.de
A Flores‐Lagunes - Journal of Applied Econometrics, 2007 - Wiley Online Library
... In a recent paper, Yogo (2004) analyzes the problem of estimating the elasticity of intertemporal
substitution (EIS) using the linearized ... the following instruments are used when employing IV
methods: the twice-lagged nominal interest rate, inflation, consumption growth, and ...
Cited by 19 - Related articles - SFX@cnb - BL Direct - All 12 versions

[PDF] The cross-Euler equation approach to testing for the liquidity constraint: evidence from macro and micro data

[PDF] from nishiyama2001jp.com
SI Nishiyama - … , Institute for Monetary and Economic Studies …, 2002 - nishiyama2001jp.com
... this addi-log specification, 1/α and 1/γ can be interpreted as the intertemporal elasticity of
substitution (IES) of Nt ... the cross intertemporal marginal rate of substitution (CIMRS) between
goods xi ... where the agent is trading Nt to Lt+1. Now the marginal rate of substitution between Lt ...
Cited by 1 - Related articles - View as HTML - All 2 versions

Endogenous Public Policy and Long-Run Growth

[PDF] from ucy.ac.cy
C Koulovatianos… - University of Cyprus Working …, 2004 - papers.ssrn.com
... equilibrium conditions of this setup, their findings should uncover similar estimates for the intra-
and inter-temporal elasticities of ... do not gain extra utility from “consumption smoothing” if their
elasticity of intertemporal substitution is unitary and production technology is linear. ...
Related articles - All 8 versions

Durability of output and expected stock returns

[PDF] from mit.edu
JF Gomes, L Kogan… - 2007 - nber.org
... elasticity of substitution between the two consumption goods. Implicit in this specification ... stock.
We therefore use the words “stock” and “consumption” interchangeably in reference ... is its elasticity
of intertemporal substitution, and γ > 0 is its relative risk aversion. We define ...
Cited by 64 - Related articles - BL Direct - All 52 versions

Age and cohort effects in saving and the German retirement system

[PDF] from uni-mannheim.de
A Börsch-Supan - Ricerche Economiche, 1995 - Elsevier
... This results in an elasticity of intertemporal substitution in consumption Q = 06749, and implies
a ... is in line with the estimated low intertemporal elasticity of substitution in consumption ... path of
consumption as impatience decreases, making intertemporal substitution more important ...
Cited by 14 - Related articles - All 10 versions

[PDF] Interpreting High Returns to Microenterprise Investment

[PDF] from wisc.edu
T Huegerich - 2010 - aae.wisc.edu
... It suffices to assume very low elasticities of intertemporal substitution (EIS), which might ... Now,
suppose that preferences take the constant elasticity of intertemporal substitution (CES) form,
u ... In particular, I find that the intertemporal elasticity of substitution is an underappreci- ated ...
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[PDF] Estimating the Speed of Convergence in the Neoclassical Growth Model: An MLE Estimation of Structural Parameters Using the Stochastic Neoclassical Growth …

[PDF] from holycross.edu
DG Swaine - Working Papers, 2008 - college.holycross.edu
... 1 c )c(u 1 t t : a CIES (Constant Intertemporal Elasticity of Substitution) function. ... of growth of
Harrod-neutral technical change; θ being the coefficient of relative risk aversion, which is the
inverse of the Intertemporal substitution elasticity; α being the output elasticity of capital ...
Related articles - View as HTML - All 6 versions

[PDF] Deutsche Bundesbank's 9th Spring Conference:“Microdata Analysis and Macroeconomic Implications”

[PDF] from deutsche-bundesbank.de
RE Hall - 2007 - deutsche-bundesbank.de
... The first property is risk aversion and intertemporal substitution in consumption. With
additively separable preferences across states and time periods, the coefficient of
relative risk aversion (CRRA) and the intertemporal elasticity ...
Related articles - View as HTML - All 28 versions

[PDF] _Department of Management, Yokohama national University, Japan. M)“We are grateful to Professors K. Ariga, K. Ban, G. Brunello, T. Inoki, K. Koike, K. …

[PDF] from 129.105.97.149
H Osano… - 1988 - 129.105.97.149
... supply: (1— a )"1 and (B — 1)-1 represent the elasticity of intertemporal substitution in
Consumption ... restriction placed on the Japanese quarterly data series of aggregate consumption
of worker ... the taste parameter of workers in labor supply) and 0' (the substitution rate between ...

[PDF] Health shocks and consumption among elderly US households

[PDF] from berkeley.edu
RD Edwards - 2006 - demog.berkeley.edu
... tion is a substitute for leisure in enjoyment, increasing enjoyable consumption may be the ... We
can proceed to solve for the consumption trajectory either analytically or numerically if we ... where
σ is both the inverse of the elasticity of intertemporal substitution and the coefficient of ...
Cited by 1 - Related articles - View as HTML - All 5 versions

Explaining the equity premium in Hong Kong with C-CAPM: The use of emigration growth as an instrument

H Tam… - Journal of International Financial Markets, Institutions …, 2009 - Elsevier
... of that of Hansen and Singleton (1983), finds that the estimated elasticity of intertemporal
substitution (EIS), which ... 2 in the first-stage regressions, since both stock market return and
consumption growth are ... More recently, there is resurgence in the interest of the problem of weak ...
Related articles - All 5 versions

[BOOK] Foreign exchange rate risk in a small open economy

[PDF] from bankofengland.co.uk
B De Paoli… - 2009 - bankofengland.co.uk
... shocks are denoted by #t . The parameter, ), is the inverse of the intertemporal elasticity of
substitution while $ is the inverse of the Frisch labour supply parameter. ... elastic labour supply. ...
the size of the so-called intertemporal substitution effect relative to the precautionary savings ...
Cited by 1 - Related articles - View as HTML - All 10 versions

[PDF] Money in a real business cycle model

[PDF] from jstor.org
REA Farmer - Journal of Money, Credit, and Banking, 1997 - JSTOR
... in much of the literature that this parameter should be in the range of 1 to 4. The parameter A
is the elasticity of substitution in each ... I mean the marginal utility of money evaluated at the steady
state and by the indirect effect I mean the cross partial of money with consumption. ...
Cited by 77 - Related articles - BL Direct - All 12 versions

[PDF] Long Run Risk and the Persistence of Consumption Shocks

[PDF] from ceistorvergata.it
F Ortu, A Tamoni… - 2010 - ceistorvergata.it
... income one, which means that the elasticity of intertemporal substitution must be greater ... 3 Page
5. of aggregate consumption growth by an agent with elasticity of substitution greater than ... The
preference parameter ψ measures the intertemporal elasticity of substitution, γ ...
Cited by 1 - Related articles - View as HTML - All 3 versions

[PDF] Testing Consumption&based Asset Pricing Models with Factor Model Analysis

[PDF] from fucape.br
JV Issler… - fucape.br
... The resulting intertemporal rate of substitution is mt"$ ) β $ Ct"$ Ct %-η (11) ... Ut ) 6!% β"C
p t # ΕtUa t"$ " 7! " (14) where %/!% ρ" is the intertemporal elasticity of substitution in
consumption and a ) %7 determines the agentqs behavior towards risk. ...
Related articles - View as HTML - All 4 versions

Expansionary Effects of Fiscal Consolidation: The Role of Expectations and Interest Rates In the Case of Denmark

[PDF] from psu.edu
V De Bonis… - Public Finance Review, 1999 - pfr.sagepub.com
... negative from a theoretical perspective and in analyzing the role of the substitution and wealth ...
to the information set available at time t. In specifying the intertemporal consumption choice
between ... Consumption is in real terms, and the quar- terly series is seasonally adjusted, in ...
Related articles - SFX@cnb - BL Direct - All 4 versions

[PDF] WHAT CAN WE LEARN FROM MICRO AND MACRO DATA?

[PDF] from funep.es
M BROWNING - funep.es
... In this case the elasticity of intertemporal substitution is not constant. 5 See, for instance,
Hall (1988). ... The problem becomes even more serious if the elasticity of substitution is
not constant but a filnction of various demographic variables. ...

[PDF] Analyzing the Crowding-out Problems of Taiwan

[PDF] from jed.or.kr
T Ho - Journal of Economic Development, 2001 - jed.or.kr
... in productivity raises the real wage sufficiently that there is a substitution away from ... t t Cr CE σ
β + = + where σ = U'(C*)/{C*⋅U”(C*)} is the intertemporal elasticity of substitution. ... is found for
the null that total government consumption does not Granger cause private consumption. ...
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[PDF] TAMPERE ECONOMIC WORKING PAPERS NET SERIES

[PDF] from uta.fi
HL ASSETS - 2006 - tampub.uta.fi
... from an additional unit of consumption. Thus, the elasticity of intertemporal substitution
substitution between dates t+1 and t consumption decreases and a higher expected stock
return is needed to satisfy the Euler equation for optimal consumption. ...
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[PDF] Understanding long-run Consumption in Open Economies: Argentina 1913-2005

[PDF] from gub.uy
A Gay - 2006 - bcu.gub.uy
... where 0 1 < β < is the subjective rate of time discount, σ > 0 the elasticity of intertemporal
substitution, and ε and 1 1 1 1 1 T N C C (1 ) C θ θ− θ− θ− θ θ θ θ ⎡ = γ + − γ ⎢ ⎥ ⎣ ⎦ ⎤ 2) d ... The
third term Nt ( /2)y − κ captures the isutility of wor rt, in this case, with an elasticity put of 2 2 ...
Related articles - All 3 versions

Is there an equity premium puzzle in Italy? A look at asset returns, consumption and financial structure data over the last century

[PDF] from bancaditalia.it
F Panetta… - Bank of Italy Temi di Discussione (Working …, 1999 - papers.ssrn.com
... to be equal to the reciprocal of the elasticity of intertemporal substitution; it is a highly ... reciprocal
of the intertemporal substitution elasticity. Furthermore, if γ=σ =1 (substitution elasticity and risk
aversion both equal to one), we have the special case of logarithmic utility. ...
Cited by 21 - Related articles - BL Direct - All 10 versions

[BOOK] The Intertemporal Spending Behaviour of Local Governments: A Comparative Analysis of the Scandinavian Countries

[PDF] from uu.se
LE Borge, M Dahlberg… - 2001 - nek.uu.se
... The consumption growth rate is higher the higher the real interest rate and the higher the
intertemporal elasticity of substitution is. If the real interest ... associated with intertemporal
optimization, and the permanent-income hypothesis can no ... private consumption.16 ...
Cited by 7 - Related articles - View as HTML - All 14 versions

[PDF] Asset Pricing and the Equity Premium Puzzle: A Review Essay

[PDF] from whu.edu.cn
WP Wang - 2002 - jpkc.whu.edu.cn
... in Weil (1989), their results show that a smaller elasticity of intertemporal substitution generates
a ... model the product of the relative risk aversion and intertemporal elasticity of substitution is
substantially ... be written as the product of utility curvature and the elasticity of consumption ...
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[PDF] TESTING THE LIFE CYCLE/PERMANENT INCOME MODEL THE CROSS-EULER EQUATION APPROACH

[PDF] from ohiolink.edu
S Nishiyama - 2002 - etd.ohiolink.edu
... over time given the discounted expected price ratio of domestic non-durable consumption goods
at ... way to interpret this equation is to regard intertemporal marginal rate of substitution (IMRS)
as a ... 1/a and l/u can be interpreted as the intertemporal elasticity of substitution (IES) of ...
Related articles - All 4 versions

[BOOK] Portfolio and consumption decisions under mean-reverting returns: An exact solution for complete markets

[PDF] from nyu.edu
J Wachter - 2002 - Cambridge Univ Press
... where rt is the riskless interest rate ... in detail a special case for which their solution is exact, namely
the case where the investor has unit elasticity of intertemporal substitution. ... special case is much
less rich than the one considered here because the ratio of consumption to wealth ...
Cited by 314 - Related articles - BL Direct - All 20 versions

[PDF] Does Korean Exchange-Rate Volatility Have a Precautionary-Saving Effect on the Current Account?

[PDF] from mju.ac.kr
C Choi… - 2007 - idisk.mju.ac.kr
... factor, the intertemporal elasticity of substitution, and the share of traded goods in consumption,
respectively. ... via the consumption function,” Journal of International Money and Finance ... Sheffrin,
SM, Woo, WT, “Present value tests of an intertemporal model of the ...
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Can transition dynamics explain the international output data?

[PDF] from unirioja.es
C Papageorgiou… - … papers= Documentos de …, 2001 - dialnet.unirioja.es
... formed. Human capital technology is of particular interest in our model and deserves careful ...
(13) L0; S0; K0; A0 given, where µ is the inverse of the intertemporal elasticity of substitution;
½ is the discount factor; and ... must equal consumption plus physical capital investment, It. ...
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[PDF] A Canonical Model of the FX Premium!

[PDF] from dallasfed.org
B de Paoli… - dallasfed.org
... 5Note that, when demand is infinitely elastic, this wedge is eliminated - this specification
characterizes the perfect competition case. 5 Page 8. ... In this environment the intertemporal
marginal rate of substitution (in nominal terms) is equalized across countries. ...
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[PDF] Monetary Policy in a Partially Dollarized Economy

[PDF] from webmeets.com
G Felices… - 2006 - webmeets.com
... domestic and foreign interest rates, and two underlying parameters: the preference for foreign
currency and the elasticity of substitution between the two currencies. The transmission ... is the
price of this bond) we can derive the intertemporal Euler equation (14) ...
Cited by 9 - Related articles - View as HTML

Foreign Resource Inflows, Saving, and Growth

M Obstfeld - The economics of saving and growth: theory, …, 1999 - books.google.com
... u (c)= G, 1-(1/0) where o> 0 is the intertemporal substitution elasticity, and that ... Saving, and Growth
125 It can be shown that, along SS, consumption and the ... A critical determinant of llfl is o, the
elasticity of intertemporal substitution, which, loosely speaking, measures consumers ...
Cited by 52 - Related articles - All 5 versions

[BOOK] Investment in financial literacy and saving decisions

[PDF] from nber.org
T Jappelli, M Padula… - 2011 - nber.org
... shows that a higher intertemporal elasticity of substitution is associated with greater financial literacy
and higher saving levels. ... 6The intertemporal rate of substitution, σ, is chosen to be broadly
consistent with the evidence in Attanasio and Weber (1993) and (1995). ...
Cited by 6 - Related articles - View as HTML - All 11 versions

[PDF] Essays on consumption and expected returns

[PDF] from nber.org
M Yogo - 2004 - nber.org
... premium. In contrast, I estimate a high elasticity of substitution between the goods, ... tence of durable
consumption growth. In Section 1.8, I show that this “riskfree rate 5 Page 21. puzzle” can be
resolved by separating risk aversion from the elasticity of intertemporal ...
Cited by 1 - Related articles - View as HTML - All 10 versions

An estimation of economic models with recursive preferences

[PDF] from lse.ac.uk
X Chen, J Favilukis… - 2011 - nber.org
... substitution with its theoretical representation based on consumption growth and the return to
aggregate wealth. ... Using quarterly data on consumption growth, assets returns and instruments,
our empir- ... The estimated elasticity of intertemporal substitution is above ...
Cited by 30 - Related articles - All 19 versions

Stocks, bonds, and long-run consumption risks

[PDF] from uzh.ch
H Hasseltoft - 2008 - papers.ssrn.com
... where θ = 1-γ 1- 1 ψ , γ ≥ 0 denotes the risk aversion coefficient and ψ ≥ 0 the elasticity of
intertemporal substitution (EIS). The discount factor is denoted δ. ... Epstein and Zin (1989) show
that the logarithm of the intertemporal marginal rate of substitution (IMRS) is given by: ...
Cited by 8 - Related articles - All 6 versions

[PDF] GMM, weak instruments, and weak identification

[PDF] from washington.edu
JH Stock, J Wright… - Journal of Business and …, 2002 - faculty.washington.edu
... estimator, which obtains after a few lines of algebra. First substitute the expression for Y ... (11) where
γ is the coefficient of risk aversion (here, also the inverse of the intertemporal elasticity of
substitution), ∆ct+1 is the growth rate of consumption, rt is the log gross ...
Cited by 38 - Related articles - View as HTML

Comparing empirical models of the euro economy

[PDF] from warwick.ac.uk
KF Wallis - Economic Modelling, 2004 - Elsevier
... The intertemporal elasticity of substitution for unconstrained consumers is calibrated at 0.5, having
in mind estimates ... is CES, as noted above, and estimates of the elasticity of substitution ... In contrast
MULTIMOD and QUEST adopt the model of intertemporal optimization by firms ...
Cited by 22 - Related articles - All 10 versions

[PDF] A Micro-foundations Model of Dollarization with Network Externalities and Portfolio Choice: The Case of Bolivia

[PDF] from mines.edu
JT Cuddington, RMR Garcia… - Georgetown University, …, 2002 - mines.edu
... Utility from consumption is assumed to be a constant relative risk aversion or constant
intertemporal elasticity of substitution function: ... property of this function is that the elasticity
of substitution in consumption between any two points in time is 1 ± : ...
Cited by 4 - Related articles - View as HTML - All 12 versions

Estimating discount functions with consumption choices over the lifecycle

[PDF] from ox.ac.uk
D Laibson, A Repetto… - 2007 - nber.org
... intertemporal decisions. ... Ausubel (1991) reports credit card interest rates that are similar to our
estimates before we correct for personal bankruptcy. ... puzzling, since endogenous labor supply
could be used instead of credit card borrowing to smooth consumption during transitory ...
Cited by 112 - Related articles - BL Direct - All 54 versions

[PDF] Household Consumption in Sweden: Estimation and Simulation of

[PDF] from psu.edu
M Eklöf - 1999 - Citeseer
... On the other hand its reciprocal will also determine the elasticity of intertemporal substitution. ...
8 If we would consider an alternative distribution of consumption and interest rate, then the
constant would possibly include higher moments of the distribution. Page 12. 12 ...
Related articles - View as HTML - All 2 versions

[BOOK] Commodity stabilization funds

[PDF] from worldbank.org
P Arrau… - 1992 - www-wds.worldbank.org
... inverse of the CRRA parameter a (the intertemporal elasticity of substitution in this framework ...
the time-separable utility function we use where high RRA parameters imply low intertemporal
elasticity. ... an asymmetry in the errors (consumption is not symmetric) that casts doubt that ...
Cited by 48 - Related articles - View as HTML - All 7 versions

An international dynamic asset pricing model

[PDF] from columbia.edu
RJ Hodrick, DTC Ng… - International Tax and Public …, 1999 - Springer
... 1989) with separate parameters for the coefficient of relative risk aversion, γ, and for the elasticity
of intertemporal substitution, σ. ... realistic environment of conditional heteroskedasticity.5 The most
straightforward approach is to assume that the elasticity of substitution, σ, equals ...
Cited by 33 - Related articles - SFX@cnb - BL Direct - All 15 versions

Long Run Risk and the Persistence of Consumption Shocks

A Tamoni, F Ortu… - papers.ssrn.com
... income one, which means that the elasticity of intertemporal substitution must be greater ... 3 Page
5. of aggregate consumption growth by an agent with elasticity of substitution greater than ... The
preference parameter ψ measures the intertemporal elasticity of substitution, γ ...
Related articles

[PDF] Asset pricing with durable goods: Potential resolution of some asset pricing puzzles

[PDF] from cmu.edu
M Pakoš - 2007 - student-3k.tepper.cmu.edu
... magnitude of the elasticity of intertemporal substitution. Thirdly, it generates a time variation in
average returns on assets. ... is completely missing in the one good economy and hence the estimate
of the intertemporal substitution is biased downward. ... elasticity of substitution. ...
Cited by 4 - Related articles - View as HTML - All 7 versions

Unemployment insurance and precautionary saving

EM Engen… - Journal of monetary Economics, 2001 - Elsevier
... denotes the relative risk aversion coefficient (γ>0) and the intertemporal elasticity of substitution
for consumption ... before consuming C t , is determined by the wealth transition equation (3)W ... and
income are determined as: with general taxes on consumption, interest income, and ...
Cited by 197 - Related articles - BL Direct - All 10 versions

Consumption growth as a risk factor? Evidence from Canadian financial markets

[PDF] from psu.edu
B Carmichæl… - Journal of International Money and Finance, 2005 - Elsevier
... return on the market portfolio, influencing the intertemporal marginal rate of substitution. ... report
coefficients governing time preference, risk aversion and the elasticity of intertemporal substitution
of consumption. ... the (excess) return on the market portfolio and consumption growth. ...
Cited by 4 - Related articles - All 7 versions

[PDF] Consumption commitments and asset prices

[PDF] from nber.org
R Chetty… - manuscript, Department of Economics, Harvard …, 2004 - nber.org
... consumption, as well as the elasticity of intertemporal substitution. In the following, we further
assume that γ = 1/ε, that is, the intertemporal and across-good elasticities of substitution are
equal. This simplification is necessary to make the model tractable. ...
Cited by 44 - Related articles - View as HTML - All 24 versions

Can Transition Dynamics Explain the International Output Data?

[PDF] from chrispapageorgiou.com
C Papageorgiou… - Macroeconomic …, 2004 - Cambridge Univ Press
... for labor share in R&D, uAt : Equation (25) 3. Euler equation for consumption, ˆct : Equation ... US
observations.12 In turn, substituting the values of the steady-state interest rate, ρ ... and Gy,ss into
equation (15) implies that the inverse of the intertemporal elasticity of substitution (θ) is ...
Cited by 6 - Related articles - BL Direct - All 16 versions

[BOOK] Labor economics

[PDF] from 83.145.66.219
P Cahuc… - 2004 - books.google.com
... Decisions 16 1.3 Life Cycle and Retirement 19 1.3.1 Intertemporal Labor Supply ... Ill I CONTEN
TS 6.3 Appendix 3: Compensated and Noncompensated Elasticity 54 CHAPTER 2 ... 210 2.2.1
Aggregate Labor Demand 210 2.2.2 Complementarity and Substitution Between Inputs ...
Cited by 619 - Related articles - All 11 versions

Expectations, learning and business cycle fluctuations

[PDF] from rba.gov.au
S Eusepi… - 2008 - nber.org
... To determine optimal consumption decisions, combine the intertemporal budget constraint 8 ... The
latter has only one part as the income and substitution effects of a wage increase both increase
current consumption. ... (8) where ǫH is the inverse Frisch elasticity of labor supply. ...
Cited by 37 - Related articles - All 51 versions

[PDF] oA Monthly Struggle for Self'Control? Hyperbolic Dis' counting, Mental Accounting, and the Fall in Consumption Between Paydays

[PDF] from iza.org
D Huffman… - Institute for the Study of Labor (IZA) Discussion …, 2005 - iza.org
... willingness to substitute consumption between weeks: a 10 percent increase in prices in ... large
value for the intertemporal elasticity of substitution for exponential discounting to ... well below
accepted estimates, the model still requires an elasticity of intertemporal substitution of 23 ...
Cited by 9 - Related articles - View as HTML - All 3 versions

Long-Run Stockholder Consumption Risk and Asset Returns

A Vissing-Jorgensen, CJ Malloy… - SSRN eLibrary, 2008 - papers.ssrn.com
... as non-stockholders have an EIS different from one, a general equilibrium model of limited stock
market participation also delivers a time-varying aggregate consumption-wealth ratio. B. Euler
Equations for an Elasticity of Intertemporal Substitution = 1 ... Euler equation. ...
Cited by 2 - Related articles - All 2 versions

[PDF] The Real Exchange Rate, the Current Account, and Foreign Debt in a Stochastic Optimizing Model with Imperfect Capital Flows

[PDF] from carleton.ca
JA Khondaker - http-server.carleton.ca
... The model's intra-and intertemporal optimizing equilibrium conditions are then derived. ... the
consumption of nontradables, exportables, and importables.20 In the above specification,
tradables and nontradables are represented in constant- elasticity-of-substitution (CES) form ...
Related articles - View as HTML - All 2 versions

Uninsured idiosyncratic investment risk and aggregate saving

[PDF] from chicagobooth.edu
GM Angeletos - Review of Economic Dynamics, 2007 - Elsevier
... RBC model for heterogeneity instock-market participation and in intertemporal substitution
preferences. ... and output: a Hall-type regression based on aggregate consumption data generated ...
the coefficient of relative risk aversion, is the elasticity of intertemporal substitution, is the ...
Cited by 108 - Related articles - All 21 versions

Consumption and labor supply with partial insurance: An analytical framework

[PDF] from minneapolisfed.org
J Heathcote, K Storesletten… - 2009 - nber.org
... (2) The parameter γ is the inverse of the intertemporal elasticity of substitution for con-
sumption. The Frisch elasticity of labor supply is equal to 1/σ. The variable ϕt is a ... between
agents' willingness to substitute consumption and hours intertemporally. ...
Cited by 58 - Related articles - BL Direct - All 47 versions

[BOOK] Are Taste and Technology Parameters Stable?: A Test of" deep" Parameter Stability in Real Business Cycle Models of the US Economy

[PDF] from psu.edu
DG Swaine - 2001 - Citeseer
... where: θ is the instantaneous elasticity of intertemporal substitution. The consumer's problem
is to maximize a discounted infinite sum of the utility function in equation (1), ... no inter-temporal
interconnections. ... Substitute equations (1) and (4) representing the actual ...
Cited by 1 - Related articles - View as HTML - All 12 versions

Net foreign assets and imperfect pass-through: the consumption real exchange rate anomaly

JD Selaive, V Tuesta… - International Finance …, 2003 - papers.ssrn.com
... 1 σ Z 1 n c h t (f) σ−1 σ df# σ σ−1 , (4) where σ > 1 is the elasticity of substitution across
goods produced within a country. ... β is the intertemporal discount factor (0<β < 1). 11
This assumption implies inmobility of labors across sectors. ...
Cited by 37 - Related articles - BL Direct - All 7 versions

[PDF] An Intertemporal CAPM with Stochastic Volatility

[PDF] from harvard.edu
JY Campbell, S Giglio, C Polk… - 2011 - kuznets.fas.harvard.edu
... Finally, we substitute back into the intertemporal model (9 ... as well as the VAR parameters and
the loglinearization coeffi cient ρ, but it does not depend on the elasticity of intertemporal
substitution φ except ... a consumption claim that satisfies the loglinearized Euler equation exactly ...
Cited by 2 - Related articles - View as HTML - All 3 versions

[BOOK] Consumption, habit persistence, imperfect information and the lifetime budget constraint

[HTML] from uni-mannheim.de
A Willman… - 2003 - papers.ssrn.com
... discounted at a rate exceeding the market rate of interest by a premium equalling the probability
of ... As in Campbell and Mankiw (1989), the approximate consumption function is obtained by solving
households' optimisation problem under the log-linearised intertemporal budget ...
Cited by 2 - Related articles - All 27 versions

[HTML] Do the rich save more?

[HTML] from jstor.org
KE Dynan, J Skinner… - Journal of Political Economy, 2004 - JSTOR
... words, adding back implicit Social Security saving “undoes” the substitution between private ...
households.11 Closely related are models in which the intertemporal elasticity of substitution
is larger for ... Our theoretical analysis focused on consumption and saving relative to lifetime ...
Cited by 333 - Related articles - SFX@cnb - BL Direct - All 20 versions

On the economic link between asset prices and real activity

[PDF] from uc3m.es
JI Peña… - Journal of Business Finance & …, 2007 - Wiley Online Library
... develop a class of nonexpected utility preferences that nest time, and state separable expected
utility preferences as a special case, but separates agent's relative risk aversion and elasticity
of intertemporal substitution parameters. ... Estimates for the elasticity of substitution (1/ρ ...
Cited by 2 - Related articles - SFX@cnb - BL Direct - All 16 versions

Finite sample properties of tests of the Epstein-Zin asset pricing model

[PDF] from virginia.edu
DC Smith - Journal of Econometrics, 1999 - papers.ssrn.com
... difference between the relative risk aversion parameter and the reciprocal of the intertemporal
substitution parameter large. ... elasticity of intertemporal substitution parameters.1 ... process calibrated
to mimic the joint dependencies observed in aggregate consumption and dividend ...
Cited by 23 - Related articles - All 11 versions

At the nexus of risk and time preferences: An experimental investigation

KH Coble… - Journal of Risk and Uncertainty, 2010 - Springer
... Keywords Discounted expected utility . Kreps-Porteus model . Elasticity of intertemporal
substitution JEL Classification D81 . D91 ... Importantly, we are able to estimate the inter-temporal
elasticity of substitution (EIS) in addition to the simple discount factor. ...
Cited by 6 - Related articles - SFX@cnb - All 7 versions

[PDF] Identification and Estimation of Interest Rate Rules in New Keynesian Models

[PDF] from nd.edu
E Sims - 2008 - nd.edu
... expected consumption growth to the ex ante real interest rate, with ) denoting the in$ tertemporal
elasticity of substitution.1 ... no preference shocks, and no government consumption. ... roughly four
percent. I set the elasticity of intertemporal substitution, ), to 1, corresponding ...
Cited by 3 - Related articles - View as HTML - All 2 versions

[PDF] Life-cycle consumption: can single agent models get it right?

[PDF] from nber.org
A Bick… - MPRA Paper, 2011 - nber.org
... Interest- ingly, such a configuration provides an additional explanation for the hump observed
in per-adult ... φ2 which determines the profile of the per-adult equiv- alent consumption. Larger
values of α imply a flatter profile, as the lower intertemporal elasticity ...
Cited by 3 - Related articles - View as HTML - All 12 versions

Matching up the data on education with economic growth models

[PDF] from unirioja.es
C Papageorgiou… - … papers= Documentos de …, 2002 - dialnet.unirioja.es
... where, ρ is the discount factor; θ is the inverse of the intertemporal elasticity of substitution; δ
is the depreciation rate of capital; n and gA are the exogenously growing rates ... The capital-skill
complementarity would hold in this case if the elasticity of substitution between capital ...
Related articles - All 11 versions

[PDF] «The consumption dynamics and savings behavior of pluralistic households»

[PDF] from psu.edu
S Lich-Tyler - Manuscrit, University of Michigan at Ann Arbor, 2003 - Citeseer
... and intertemporal elasticity of substitution ηit . While individuals have preferences, households ...
in their personal discount factor δi ∈ [ , ]0 1 .4 The household faces the intertemporal budget
constraint, ... consumption dynamics directly, but it is likely to affect bargaining power.14 I ...
Cited by 6 - Related articles - View as HTML

Direct effects of base money on aggregate demand: theory and evidence

[PDF] from bankofengland.co.uk
E Nelson - Journal of Monetary Economics, 2002 - Elsevier
... g 2 =(βh 2 σ+βhσ−βh 2 –1)/(σ(1−βh)), g 3 =−g 1 /β, g 4 =((1−βhρ v )/(1−βh)), and ρ v is the
AR(1) parameter for the IS shock process (v t ). All variables except interest rates are ... (11) defines
log marginal utility of consumption ( t ). Eq. (12) is the standard Euler relation connecting ...
Cited by 160 - Related articles - BL Direct - All 16 versions

Human capital, heterogeneity and estimated degrees of intergenerational mobility

[PDF] from jstor.org
S Han… - The Economic Journal, 2001 - Wiley Online Library
... Third, our study highlights the importance of the `intergenerational elasticity of substitution' to
the economic ... Parents solve the following intertemporal optimisation problem: ... The second
parameter is the partial family income elasticity of earnings among borrowing constrained ...
Cited by 62 - Related articles - SFX@cnb - BL Direct - All 12 versions

Consumption commitments: Neoclassical foundations for habit formation

[PDF] from berkeley.edu
R Chetty… - 2004 - nber.org
... Because utility is time-separable, γ measures the elasticity of intertemporal substitution
as well as relative ... Because utility is separable across the two goods, the intertemporal
and across-good elasticities of substitution are also equal. ...
Cited by 41 - Related articles - All 20 versions

[BOOK] Strategic asset allocation: Portfolio choice for long-term investors

[PDF] from duke.edu
JY Campbell… - 2001 - ciber.fuqua.duke.edu
... 1999), or if the investor has Epstein ~in utility with intertemporal elasticity of substitution equal
to ... 4We do allow the elasticity of intertemporal substitution to differ from the coe cient of relative
risk ... models in which utility is derived from the difference between consumption and a ...
Cited by 165 - Related articles - View as HTML - All 13 versions

[PDF] Utility Interdependence and Consumption Behavior: The Roles of Envy and Habits

[PDF] from webmeets.com
F Alvarez-Cuadrado, JMC Garcia, JML Azcona… - 2010 - webmeets.com
... ral substitution, with the growth rate of consumption of the reference group as a ... Meier (2008) finds
an intertemporal elasticity of substitution of 0.1 and Ravina (2008) reports an estimate close to
0.8. ... profile of consumption through the life cycle reported, for instance, by Attanasio ...
View as HTML

[PDF] Did Household Consumption Become More Volatile?

[PDF] from nber.org
O Gorbachev - ESE Discussion Papers, 2007 - nber.org
... 13 Page 14. where αg is the coefficient of relative risk aversion, or the inverse of the intertemporal
elasticity of substitution, and is allowed to vary by groups, g, but not over time.26 It is well known
that consumption is measured with error. To control for this error, so that we ...
Cited by 18 - Related articles - View as HTML - All 9 versions

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Transaction costs and consumption

[PDF] from federalreserve.gov
G Li - Journal of Economic Dynamics and Control, 2009 - Elsevier
... consumer maximizes her lifetime utility (1) View the MathML source subject to the intertemporal
budget constraint ... U(C t ) is the intratemporal utility function, r is the real interest rate and ... In particular,
consumption growth should not be correlated with the predictable income growth ...
Cited by 5 - Related articles - All 14 versions

The Real Exchange Rate, Real Interest Rates, and the Risk Premium

[PDF] from hkimr.org
C Engel - 2011 - nber.org
... change in the log of the exchange rate is negatively correlated with the Home less Foreign interest ...
label for models of the risk premium that are developed off of the Euler equation of a representative
agent under complete markets, generally taking the consumption stream as ...
Cited by 12 - Related articles - All 18 versions

The robustness of macroeconomic indicators of capital mobility

EG Mendoza - Capital Mobility: The Impact on Consumption, …, 1994 - books.google.com
... of relative risk aversion), u>(1 plus the inverse of the intertemporal elasticity of substitution in
labour supply ... a (capital's share in output), 8 (depreciation rate),/?(the con- sumption elasticity
of the ... As shown in Mendoza (1992), the assumption that the intertemporal relative price of ...
Cited by 49 - Related articles - All 6 versions

Monetary policy and the uncovered interest rate parity puzzle

[PDF] from 194.90.30.6
DK Backus, F Gavazzoni, C Telmer… - NBER Working Paper, 2010 - papers.ssrn.com
... The marginal rate of intertemporal substitution, defined as nt+1, is ... (15) The nominal marginal
rate of substitution — the pricing kernel for claims denom- inated in USD units — is then ... Without
policy shocks endogenous inflation will depend only on consumption shocks. ...
Cited by 4 - Related articles - All 17 versions

The returns on human capital: Good news on wall street is bad news on main street

[TXT] from nyu.edu
H Lustig… - 2005 - nber.org
... substitution. ... the intertemporal elasticity of substitution (EIS) is zero, there is just not enough mean ...
to the model, an individual investor holding only financial wealth (eg a retiree) would have
implausibly volatile consumption, if she is very willing to substitute consumption over time ...
Cited by 59 - Related articles - BL Direct - All 45 versions

[PDF] Margherita Borella (University of Turin and CeRP-Collegio Carlo Alberto)♦ Flavia Coda Moscarola (CeRP-Collegio Carlo Alberto)

[PDF] from univpm.it
M Rossi - sie.univpm.it
... on average, for the low educated which should be more prone to substitute their time ... Where
(ρ) is the inverse of the elasticity of intertemporal substitution – assumed constant across
individuals – and Z ... of the household head that captures the changes in the intertemporal rate ...
Related articles - View as HTML - All 3 versions

An analytical framework for assessing asset pricing models and predictability

[PDF] from u-cergy.fr
R Garcia, N Meddahi… - SSRN eLibrary, 2008 - papers.ssrn.com
... since there is investment, and although the Euler condition for asset returns still involves
discounting the return by the intertemporal marginal rate of substitution in consumption, the ...
coefficient of relative risk aversion, ψ is the elasticity of intertemporal substitution, δ is the ...
Cited by 17 - Related articles - All 19 versions

On growth and indeterminacy: some theory and evidence

[PDF] from crei.eu
J Benhabib… - Carnegie-Rochester Conference Series on Public …, 1995 - Elsevier
... depends on parameter values and is particularly sensitive to the elasticity of intertemporal
substitution ~r. If ... 2% and 6%, with the intertem- poral elasticity of substitution set at ... result arises
for very plausible values for both the intertemporal elasticity of substitution of consumption ...
Cited by 69 - Related articles - SFX@cnb - All 17 versions

The forward discount anomaly and the risk premium: A survey of recent evidence

[PDF] from paulscanlon.net
C Engel - Journal of Empirical Finance, 1996 - Elsevier
... as the relation of uncovered interest parity to real interest parity, and the implications of uncovered
interest parity for ... Included in this area are tests of the consumption CAPM, tests of the latent
variable model, and ... Cov(Et(S,+l) st, rprte) + Var(Et(s +t) st) O. From this equation, 13 0 ...
Cited by 775 - Related articles - BL Direct - All 26 versions

[PDF] DP2011/05

[PDF] from rbnz.govt.nz
E De Veirman… - 2011 - rbnz.govt.nz
... the magnitude of this effect is determined by the elasticity of intertemporal substitution 1/ρ. ... the
extent of re-allocation of consumption across periods determined by the intertemporal elasticity
of substitution. ... The intertemporal substitution effect, captured by −(1/ρ) (1/r*), tends to im ...
Related articles - All 2 versions

Consumption risk and cross-sectional returns

[PDF] from psu.edu
JA Parker… - 2003 - nber.org
... real interest rate in the economy between t and t+1, and Ri,t+1 is the gross return on ... This is at
odds with the litera- ture on the intertemporal allocation of consumption, which is in wide ... of returns
that we study as we vary S. That is, the sample for per capita consumption runs from ...
Cited by 17 - Related articles - BL Direct - All 17 versions

Predictability in consumption growth and equity returns: A Bayesian investigation

[PDF] from 67.20.81.168
A Paseka… - Financial Review, 2010 - Wiley Online Library
... Under simple power utility, the elasticity of intertemporal substitution is the reciprocal of the
coefficient of relative risk aversion. ... ψ, Intertemporal elasticity of substitution (IES). ... To this end,
we substitute the equity return r m,t+1 , and the risk-free rate dynamics implied by the model ...
Cited by 5 - Related articles - SFX@cnb - All 14 versions

[BOOK] Tax incentives to saving and borrowing

T Jappelli, L Pistaferri… - 2003 - papers.ssrn.com
... the intertemporal elasticity of substitution; analysis of specific tax reforms. ... intertemporal
substitution in consumption. Since Hall's (1978) seminal contribution, the ... elasticity makes it
more likely that the substitution effect dominates the income effect, the Euler ...
Cited by 1 - Related articles - BL Direct - All 6 versions

Asset pricing with limited risk sharing and heterogeneous agents

[PDF] from nber.org
F Gomes… - Review of Financial Studies, 2008 - Soc Financial Studies
... of debt, the (exogenous) tax rate on capital, and the (endogenous) interest rate on ... by the
preference for low-frequency consumption smoothing, ie, by the elasticity of intertemporal
substitution (EIS, ψ ... the level and volatility of the riskless rate, and the consumption growth volatility ...
Cited by 89 - Related articles - SFX@cnb - BL Direct - All 46 versions

What's vol got to do with it

[PDF] from nber.org
I Drechsler… - Review of Financial Studies, 2011 - Soc Financial Studies
... consumption at time t, reflects the agent's time preference, γ is the coefficient of risk aversion, ,
and ψ is the intertemporal elasticity of substitution (IES ... where is the log of the gross return on
asset j, and is the log of the intertemporal marginal rate of substitution (IMRS), which ...
Cited by 110 - Related articles - SFX@cnb - All 38 versions

[BOOK] Current income and private consumption-saving decisions: testing the finite horizon model

[PDF] from suomenpankki.fi
A Brunila, Bank of Finland - 1997 - suomenpankki.fi
... ie whether government consumption is an Edgeworth complement or substitute for private ... most
of the literature uses nonrational expectations aggregate consumption function that is ... Ricardian
equivalence requires intertemporal utility maximization and rational expectations that ...
Cited by 4 - Related articles - View as HTML - BL Direct - All 12 versions

[PDF] Progressive Income Taxation and Swiss Married Women's Labour Supply: a Conditional Preference Life-Cycle Consistent Approach

[PDF] from cemfi.es
C Kolodziejczyk… - 2003 - cemfi.es
... Preliminary results show that the marshallian wage elasticity conditional on husband's earnings
and ... expected sum over time of the discounted utilities under its intertemporal budget constraint ...
differ from the static case since the marginal rate of substitution between consumption ...
Cited by 3 - Related articles - View as HTML - All 3 versions

Money and stock returns: is there habit formation for holding liquid assets?

P Mäki-Fränti - International Economic Journal, 2008 - Taylor & Francis
... Accordingly, assuming a growing path for consumption, the elasticity of the intertemporal rate
of substitution between consumption between dates t+1 and t becomes a ... Thus, the elasticity of
intertemporal substitution between dates t+1 and t consumption decreases and a ...
Related articles - SFX@cnb - BL Direct - All 9 versions

Behavior under risk: Recent developments in theory and applications