Download or read book Essays on the Elasticity of Intertemporal Substitution written by Lance Deloyce Cundy and published by . This book was released on 2018 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt: Estimates give evidence of heterogeneity of the EIS in the periods of expansion and quantitative easing. These quantile results can be used to inform the theory behind the EIS and quantile models of rational behavior.
Download or read book Three Essays in Estimating Intertemporal Substitution Elasticities of Home Production written by Kun Nam James Yu and published by . This book was released on 2008 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Intertemporal Substitution in Consumption Revisited written by Zuliu Hu and published by International Monetary Fund. This book was released on 1993-03 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Intertemporal Substitution in Consumption written by Julian Thimme and published by . This book was released on 2015 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Essays on Time Preference Anomalies Intertemporal Choice Insurance and Status written by Bianjun Xia and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of my dissertation is to analyze individuals' behavior when they make choices over time and within a group. The first chapter is devoted to explaining some key time preference anomalies which are inconsistent with the standard discounted utility model. In the second chapter, I focus on how inter-personal comparisons would affect people's intertemporal choices. Finally, the last chapter studies how the concern for status affects the optimal risk sharing across individuals. The first chapter studies some key time preference anomalies. These include the time preference reversal characteristic of hyperbolic discounting, the magnitude effect and the extreme sign effect. I propose a simple explanation of discounting that accounts for these three anomalies simultaneously, within the context of the expected utility model with uncertainty, risk aversion and preference for precautionary saving. The second chapter develops an intertemporal model in which individuals care about consumption not only for its own sake but also for the status it implies. By putting an additive status term into the utility function, I show that the level of inequality in the initial wealth distribution affects individuals' saving and consumption behavior. The direction of the distortion in intertemporal choice relative to the standard model without status depends on the elasticity of intertemporal substitution in the utility from absolute consumption. I also analyze how changes in the initial wealth distribution affect saving. In the third chapter we develop a series of optimal social insurance models in which people care about both consumption per se and the status it implies. We show that the concern for status does impact the optimal contract under various information structures. Particularly, under complete information without commitment problem, the optimal contract may assign all the society resources to the minority group if the status term is convex enough. Under the limited enforcement regime, compared to the optimal allocation in the pure consumption model, it is optimal to transfer more resources to high income people when the status term is convex. Under moral hazard, the relatively lower status resulting from the higher effort level may make implementation of high effort level more difficult.
Download or read book Estimating the Elasticity of Intertemporal Substitution When Instruments Are Weak written by Motohiro Yogo and published by . This book was released on 2014 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 one while its inverse is not different from one. This paper shows that weak instruments can explain the puzzle and reports valid confidence intervals for the EIS using pivotal statistics. The EIS is less than one and not significantly different from zero for eleven developed countries.
Download or read book Intertemporal Substitution in Consumption written by Karsten N. Pedersen and published by . This book was released on 1991 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Intertemporal Substitution in a Monetary Framework written by Patricio Arrau and published by . This book was released on 1990 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Euler approach seems to work better when money is considered. For both Chile and Mexico the estimates of the intertemporal elasticity of substitution are greater than one.
Download or read book The Intertemporal substitution Hypothesis is Alive and Well but Hiding in the Data written by Jean Kimmel and published by . This book was released on 1993 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Aggregate Economics and Finance written by Francisco E. P. de Azeredo and published by . This book was released on 2007 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: Under the new data on U.S. consumption growth for 1899--2004, the second essay presents estimates of the elasticity of inter-temporal substitution (EIS). The evidence found in this essay points toward an EIS of magnitude near zero.
Download or read book Intertemporal Substitution Risk Aversion and Economic Performance in a Stochastically Growing Open Economy written by Paola Giuliano and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The constant elasticity utility function implies that the intertemporal elasticity of substitution is the inverse of the coefficient of relative risk aversion. With empirical evidence suggesting that this relationship may or may not hold, studies of risk and growth should decouple these two parameters. This paper provides an analytical characterization and numerical simulations of the equilibrium of a stochastically growing small open economy under general recursive preferences. We show that errors committed by using the constant elasticity utility function, even for small violations of the compatibility condition, can be substantial. Our results suggest that the constant elasticity utility function should be employed with caution.
Download or read book Intertemporal Substitution Risk Aversion and Private Savings in Mexico written by Patricio Arrau and published by World Bank Publications. This book was released on with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inflation Investment and Savings Under Market Reforms written by Lyaziza G. Sabyr and published by . This book was released on 2000 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Alternative Specifications for Consumption and the Estimation of the Intertemporal Elasticity of Substitution written by Paul Beaudry and published by . This book was released on 1992 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Empirical Essays on the Elasticity of Substitution Technical Change and Economic Growth written by and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate the elasticity of substitution using two different production functions. The usual Constant Elasticity of Substitution (CES) production function and a Box-Cox production function for Japan (1890-1991), UK (1870-1991), and US (1890-1992; 1929-2000). The main results are that we find the ES to be non-unitary and changing over time. Our findings have implications for economic growth (theoretical and empirical), as production is an increasing function of the ES. The use of a Cobb-Douglas production function, as in most cases in the literature, hides the role of the ES not only as a source of increase in output but also as a source of technical change. Also, we found in a monte carlo simulation that usual CES production usually does not give reliable estimates for the substitution parameter. Finally, using a CES to calculate TFP across countries, we found that variance of TFP is lower than using a Cobb-Douglas. It implies that the importance of TFP to explain income differences across countries is diminished.
Download or read book The Allocation of Time and Goods Over the Life Cycle written by Gilbert R. Ghez and published by Columbia University Press. This book was released on 1975 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is a belief now that family behavior over the life cycle can be analyzed by economic methods. This study deals with allocation of resources by families over time.
Download or read book Three Essays in Macroeconomics and Financial Economics written by Arif Oduncu and published by . This book was released on 2009 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter, I analyze the question that whether the elasticity of intertemporal substitution or risk aversion is more important determinant of precautionary savings. This is an important question since a significant fraction of the capital accumulation is due to precautionary savings according to studies. Thus, knowing the important determinant of precautionary savings will be helpful to understand the capital accumulation mechanism. I look into the effects of the elasticity of intertemporal substitution and risk aversion on precautionary savings separately by performing simulations in order to obtain numerical results. I find that the elasticity of intertemporal substitution is more important determinant than risk aversion. In the second chapter, I study the impact of the introduction of futures trading on the volatility of the underlying spot market for Turkish Istanbul Stock Exchange (ISE). The economic literature intensified the debate on the negative or positive impact of futures trading on the stock market volatility. Although there are empirical studies for different countries with mixed results, most of them focus on developed countries. There are a few empirical researches on emerging markets. Analyzing the data, following results are obtained for ISE. First, the results suggest that the introduction of futures trading has decreased the volatility of ISE. Second, the results show that futures trading increases the speed at which information is impounded into spot market prices. Third, the asymmetric responses of volatility to the arrival of news for ISE have increased after the introduction of futures trading. In the third chapter, I investigate the presence of calendar anomalies in ISE by using GARCH models. The presence of calendar anomalies and their persistence presence since their first discovery still remains a puzzle to be solved. On the other hand, there are some claims that general anomalies are much less pronounced after they became known to the public. Most of the studies have examined the developed financial markets. However, it is important to test the calendar effects in data sets that are different from those in which they are originally discovered and so ISE is a good case to test the calendar effects for a developing country.
