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Limited Asset Market Participation and the Elasticity of Intertemporal Substitution
Vissing-Jorgensen, Annette - 2002
The paper presents empirical evidence based on the US Consumer Expenditure Survey that accounting for limited asset market participation is important for estimating the elasticity of intertemporal substitution (EIS). Differences in estimates of the EIS between assetholders and non-assetholders...
Persistent link: https://www.econbiz.de/10012469818
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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
Chacko, George - 1999
This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using the Duffie-Epstein (1992) formulation of recursive utility in continuous time, it shows that the optimal portfolio demand for stocks under stochastic volatility varies strongly...
Persistent link: https://www.econbiz.de/10012471407
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Precautionary Saving and Consumption Smoothing Across Time and Possibilities
Kimball, Miles - 1992
This paper examines how aversion to risk and aversion to intertemporal substitution determine the strength of the precautionary saving motive in a two-period model with Selden/Kreps-Porteus preferences. For small risks, we derive a measure of the strength of the precautionary saving motive which...
Persistent link: https://www.econbiz.de/10012475006
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Intertemporal Substitution in Macroeconomics
Mankiw, N. Gregory - 1982
time but not necessarily additively separable in consumption and leisure. We estimate three first order conditions which …, present leisure for future leisure and present consumption for present leisure. Our results show that the aggregate U.S. data … imply that either consumption or leisure is an inferior good …
Persistent link: https://www.econbiz.de/10012478210
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Intertemporal Substitution in Consumption
Hall, Robert E. - 1981
Does a higher real interest rate induce significant postponement of consumption? According to the theory developed here, this question can be answered by studying the relation between the rate of growth of consumption and expected real interest rates. In postwar data for the United States,...
Persistent link: https://www.econbiz.de/10012478395
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Symmetric Substitution Matrices in Asset Demand Systsems
Jones, David S. - 1980
In this paper, necessary and sufficient conditions for an asset substitution matrix to be symmetric for all distributions of rates of return are derived. It is found that symmetry in this context is essentially equivalent to the proposition that the von Neumann-Morgenstern utility function...
Persistent link: https://www.econbiz.de/10012478559
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Dynamic Optimization Meets Budgeting : Unraveling Financial Complexities
Fenig, Guidon; Petersen, Luba - National Bureau of Economic Research - 2024
This paper explores sources of complexity in dynamic optimization, examining how individuals navigate variation in incomes, prices, and returns in ten-period consumption-saving decisions. Our findings reveal that dynamic optimization poses significant challenges, resulting in suboptimal choices...
Persistent link: https://www.econbiz.de/10015056146
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Households' Response to the Wealth Effects of Inflation
Schnorpfeil, Philip; Weber, Michael; Hackethal, Andreas - National Bureau of Economic Research - 2023
We study the redistributive effects of inflation combining administrative bank data with an information provision experiment during an episode of historic inflation. On average, households are well-informed about prevailing inflation and are concerned about its impact on their wealth; yet, while...
Persistent link: https://www.econbiz.de/10014372429
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The Marginal Propensity to Consume in Heterogeneous Agent Models
Kaplan, Greg; Violante, Giovanni L. - National Bureau of Economic Research - 2022
What model features and calibration strategies yield a large average marginal propensity to consume (MPC) in heterogeneous agent models? Through a systematic investigation of models with different preferences, dimensions of ex-ante heterogeneity, income processes and asset structure, we show...
Persistent link: https://www.econbiz.de/10013210041
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Bad Luck or Bad Decisions? Macroeconomic Implications of Persistent Heterogeneity in Cognitive Skills and Overconfidence
Pfäuti, Oliver; Seyrich, Fabian; Zinman, Jonathan - National Bureau of Economic Research - 2024
Business cycle models often abstract from persistent household heterogeneity, despite its potentially significant implications for macroeconomic fluctuations and policy. We show empirically that the likelihood of being persistently financially constrained decreases with cognitive skills and...
Persistent link: https://www.econbiz.de/10014528345