Estimating the Elasticity of Intertemporal Substitution Using Mortgage Notches
Estimating the Elasticity of Intertemporal Substitution Using Mortgage Notches
复制标题
DOI：
10.3386/w24948
复制
发表时间：
2018-08
期刊：
影响因子：
--
通讯作者：
Michael Best;J. Cloyne;E. Ilzetzki;H. Kleven
中科院分区：
文献类型：
--
作者：
Michael Best;J. Cloyne;E. Ilzetzki;H. Kleven
利用一种新的准实验利率变化的来源，我们开发了一种新的方法来估计跨期替代弹性（EIS）。在英国，抵押贷款利率的特点是在贷款价值比（LTV）的阈值处出现离散跳跃。这些缺口在临界LTV阈值以下产生大量聚束，并在临界LTV阈值以上产生缺失质量。我们开发了一个动态模型，这些经验的时刻，潜在的结构EIS。平均EIS很小，约为0.1，并且在人群中相当均匀。这一发现对结构性假设是稳健的，并且可以考虑不确定性、广泛的风险偏好、投资组合重新分配、流动性约束、当前偏差和优化摩擦。我们的研究结果有影响的许多校准研究，依赖于较大的值的EIS。
Using a novel source of quasi-experimental variation in interest rates, we develop a new approach to estimating the Elasticity of Intertemporal Substitution (EIS). In the UK, the mortgage interest rate features discrete jumps – notches – at thresholds for the loan-to-value (LTV) ratio. These notches generate large bunching below the critical LTV thresholds and missing mass above them. We develop a dynamic model that links these empirical moments to the underlying structural EIS. The average EIS is small, around 0.1, and quite homogeneous in the population. This finding is robust to structural assumptions and can allow for uncertainty, a wide range of risk preferences, portfolio reallocation, liquidity constraints, present bias, and optimization frictions. Our findings have implications for the numerous calibration studies that rely on larger values of the EIS.