Estimating the elasticity of intertemporal substitution with leverage
نویسندگان
چکیده
منابع مشابه
Estimating the Elasticity of Intertemporal Substitution with Household-Specific Portfolios
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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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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ژورنال
عنوان ژورنال: The North American Journal of Economics and Finance
سال: 2017
ISSN: 1062-9408
DOI: 10.1016/j.najef.2017.03.005