Dladla, Pholile; Malikane, Christopher; Ojah, Kalu - Volkswirtschaftliche Fakultät, … - 2014
The elasticity of intertemporal substitution (EIS) is a crucial parameter in finance and macroeconomics, yet its estimation remains elusive. We show, based on Fisher's relation and the expectations theory of the term structure, that the EIS is the inverse of the product of the average term to...