Mismeasurement of the Elasticity of Intertemporal Substitution:The Role of Limited Stock Market Participation
Mismeasurement of the Elasticity of Intertemporal Substitution:The Role of Limited Stock Market Participation
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跨期替代弹性的误测：有限股票市场参与的作用
DOI：
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发表时间：
2000
期刊：
影响因子：
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通讯作者：
M. F. Guvenen
中科院分区：
文献类型：
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作者：
M. F. Guvenen
在本文中，我们调和两个对立的观点跨期替代弹性（EIS），在宏观经济分析中起着关键作用的参数。一方面，使用总消费数据的实证研究通常发现环境影响报告书接近于零（Hall 1988）。另一方面，为匹配增长和商业周期事实而设计的校准宏观经济模型通常要求环境影响指数接近于1。我们发现，这种明显的矛盾来自于忽略两种不同的异质性。首先，美国很大一部分家庭不参与股市。其次，各种使用个人层面数据的微观经济研究得出结论，个人的EIS随着他的财富而增加。我们分析了一个动态的经济，其中包括两种异质性。我们发现，有限的参与造成了与美国数据相匹配的巨大财富不平等。因此，产出和投资的动态行为几乎完全取决于少数富裕家庭的偏好。与此同时，由于消费在家庭之间的分布比财富均匀得多，使用总消费的估计揭示了大多数家庭的低EIS（即，穷人）。我们的模型还与美国数据的一些横截面特征相匹配，这些特征很难解释。最后，使用我们的异质代理模型生成的模拟数据，我们表明，霍尔和其他人使用的计量经济学方法产生有偏估计的平均EIS在个人。特别是，忽略仪器与对数线性化欧拉方程中的条件方差的相关性，会使EIS的估计值向下偏移多达60%。
In this paper, we reconcile two opposing views about the elasticity of intertemporal substitution (EIS), a parameter that plays a key role in macroeconomic analysis. On the one hand, empirical studies using aggregate consumption data typically find that the EIS is close to zero (Hall 1988). On the other hand, calibrated macroeconomic models designed to match growth and business cycle facts typically require that the EIS be close to one. We show that this apparent contradiction arises from ignoring two kinds of heterogeneity across individuals. First, a large fraction of households in the U.S. do not participate in stock markets. Second, a variety of microeconomic studies using individual-level data conclude that an individual's EIS increases with his wealth. We analyze a dynamic economy which incorporates both kinds of heterogeneity. We find that limited participation creates substantial wealth inequality matching that in U.S. data. Consequently, the dynamic behavior of output and investment is almost entirely determined by the preferences of the wealthy minority of households. At the same time, since consumption is much more evenly distributed across households than is wealth, estimation using aggregate consumption uncovers the low EIS of the majority of households (i.e., the poor). Our model also matches a number of cross-sectional features of the U.S. data that are otherwise difficult to explain. Finally, using simulated data generated by our heterogeneous-agent model, we show that the econometric methods used by Hall and others produce biased estimates of the average EIS across individuals. In particular, ignoring the correlation of instruments with (the omitted) conditional variances in the log-linearized Euler equation biases the estimate of the EIS downward by as much as 60%.
市场参与不完全、劳动力收入冲击与资产价格
DOI：
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发表时间：
2007
期刊：
SSRN working paper series 1015769
影响因子：
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作者：
Hiroaki OHNO;Hiroaki OHNO;大野弘明;Hiroaki OHNO
通讯作者：
Hiroaki OHNO