Intertemporal Elasticity of Substitution in Consumption PDF Download
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Author:
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ISBN:
Category :
Languages : en
Pages : 61
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 61
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Author: K. D. Patterson
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Zuliu Hu
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 32
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Some of the highly controversial questions in macroeconomics critically hinge on the value of a single parameter of consumer preference--the elasticity of intertemporal substitution. This paper provides new estimates of this parameter for individual G-7 and a panel of twenty OECD countries. We find that single equation GMM estimates are typically small and imprecise, consistent with Hall’s (1988) finding from the U.S. data. Estimation of a system of equations that takes into account the cross-equation restrictions implied by theory, however, generally gives larger and better determined values for the parameter. The panel procedure also yields relatively large estimates. Overall our multi-country results contradict the hypothesis of zero intertemporal substitution.
Author: Christian C. Starck
Publisher:
ISBN:
Category :
Languages : en
Pages : 60
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Author: Robert Ernest Hall
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 62
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Does a higher real interest rate induce significant postponement of consumption? According to the theory developed here, this question can be answered by studying the relation between the rate of growth of consumption and expected real interest rates. In postwar data for the United States, expected real returns have declined over time in the stock market and for savings accounts. Over the same period, the rate of growth of consumption has been almost steady. The paper concludes that intertemporal substitution is weak, for if it were strong, the growth rate of consumption would have declined.
Author: Kerry David Patterson
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 19
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Author: Karsten N. Pedersen
Publisher:
ISBN:
Category : Consumo
Languages : en
Pages : 28
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Author: Julian Thimme
Publisher:
ISBN:
Category :
Languages : en
Pages : 59
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This paper reviews the status quo of the empirical literature about the elasticity of intertemporal substitution (EIS) in consumption. Aiming to answer the question what the true magnitude of the parameter really is, it discusses several recent advances of the theory and highlights challenges for the estimation. Although the general discussion still seems to be prevailed by Hall's early EIS estimates close to zero, we show that several deviations from the time-additive constant relative risk aversion model speak in favor of considerably higher values. Our treatment is supposed to provide researchers a hint at which parameter is a reasonable and incontrovertible choice for the calibration of models in macroeconomics and finance.
Author: Paul Beaudry
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 44
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Author: Carlo A. Favero
Publisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 29
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