Estimating Intertemporal Elasticity of Substitution in a Sticky Price Model
نویسندگان
چکیده
منابع مشابه
DEPARTMENT OF ECONOMICS WORKING PAPER SERIES Intertemporal Substitution and Sectoral Comovement in a Sticky Price Model
Strong procyclical fluctuations in the durable production are the most prominent feature of the empirical response to monetary shocks. This paper investigates the role of preferences in matching this feature of the data in a two-sector sticky price model with flexibly priced durables. The reaction of durables depends crucially on whether preferences are separable between labor and aggregate con...
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We[1] present estimates of the Elasticity of Intertemporal Substitution (EIS) for Iranian households using synthetic cohort panels based on household micro-data. Results show significant difference with the common values used in Dynamic Stochastic General Equilibrium (DSGE) models which are originally based on estimated values for developed countries. We show that this difference has important ...
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Abstract This paper estimates the elasticity of intertemporal substitution (EIS), allowing for household-specific portfolio. Previous studies that estimated the EIS used financial indexes as a proxy for the risky return on a representative household portfolio. According to the latest data from the 2004 Survey of Consumer Finances, however, the median US stockholders who own stocks directly hold...
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In the instrumental variables (IV) regression model, weak instruments can lead to bias in estimators and size distortion in hypothesis tests. This paper examines how weak instruments affect the identification of the elasticity of intertemporal substitution (EIS) through the linearized Euler equation. Conventional IV methods result in an empirical puzzle that the EIS is significantly less than o...
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This paper investigates whether leisure time definitions matter in the estimation of the intertemporal elasticity of substitution of consumption (IES) by using a utility specification that allows interaction between consumption and leisure time. We find that the IES estimated using a narrowly defined leisure measure that excludes quasi-leisure activities is larger than that estimated using nonm...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2291392