A Tax-Based Estimate of the Elasticity of Intertemporal Substitution
A Tax-Based Estimate of the Elasticity of Intertemporal Substitution
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DOI：
10.3386/w11945
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发表时间：
2006-01
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影响因子：
--
通讯作者：
J. Gruber
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文献类型：
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作者：
J. Gruber
跨期替代弹性是宏观经济学中最重要的行为参数之一。从霍尔的开创性工作开始（霍尔，R.，1978，Stochastic Implications of the Life Cycle - Permanent Income Hypothesis：Theory and Evidence，Journal of Political Economy 86，971-987），研究人员使用欧拉方程框架来估计EIS，将消费增长率与消费者面临的税后利率联系起来。然而，这些大量的文献产生了非常复杂的结果，这可能是由于一个重要的限制：利率对消费或储蓄的影响是通过利率的时间序列变动来确定的。然而，导致利率时间序列变动的因素本身可能与消费或储蓄决策相关。我通过使用资本所得税税率的个体差异来解决这个问题。以个人的可观察特征为条件，税率变动会导致税后利率的外生变动。使用消费者支出调查20年来的非耐用品消费总量数据，我估计EIS高得惊人，为2。这一发现对各种质量标准检查具有稳健性。
One of the most important behavioral parameters in macroeconomics is the elasticity of intertemporal substitution (EIS). Starting with the seminal work of Hall (Hall, R., 1978, Stochastic Implications of the Life Cycle — Permanent Income Hypothesis: Theory and Evidence, Journal of Political Economy 86, 971–987), researchers have used an Euler equation framework to estimate the EIS, relating the growth rate of consumption to the after-tax interest rate facing consumers. This large literature has, however, produced very mixed results, perhaps due to an important limitation: The impact of the interest rate on consumption or savings is identified by time-series movements in interest rates. Yet the factors that cause time-series movements in interest rates may themselves be correlated with consumption or savings decisions. I address this problem by using variation across individuals in the capital income tax rate. Conditional on observable characteristics of individuals, tax rate movements cause exogenous shifts in the after-tax interest rate. Using data on total non-durable consumption from the Consumer Expenditure Survey over two decades, I estimate a surprisingly high EIS of two. This finding is robust to a variety of specification checks.