The relative risk aversion (RRA) coefficient of a household whose consumption is close to the subsistence level may be very high. For example, if consumption is exactly at the subsistence level, the household may not be willing to bear any risk. If this is the case, then the RRA coefficient must...

It is well-known that there is a large degree of uncertainty around Rogoff's (1996) consensus half-life of the real exchange rate. To obtain a more efficient estimator, we develop a system method that combines the Taylor rule and a standard exchange rate model to estimate half-lives. Further, we...

We use the standard two-good version of the life cycle/permanent income model in analyzing the intratemporal and intertemporal aspect of food and non-food expenditure in Japan. The empirical dilemma in identifying and estimating the parameters governing the intertemporal elasticity of...

In this paper, we use long-run annual data to estimate the intertemporal elasticity of substitution while accounting for the intra-temporal substitution between nondurable consumption goods and durable consumption goods. We apply a two-step procedure that combines a cointegration approach to...

A time-series counterpart of Engel's law is that the expenditure share on food declines as the economy grows. The main purpose of this paper is to test whether Houthakker's addilog utility function can simultaneously explain this time-series observation and cross-sectional observations...

The rate of time preference (RTP) and the intertemporal elasticity of substitution (IES) are two important factors shaping intertemporal consumption decisions. Models in which the RTP and/or the IES differ systematically between rich and poor households have different empirical and policy...