Limited Asset Market Participation and the Elasticity of Intertemporal Substitution
Journal of Political Economy, 2002, vol. 110, issue 4, pages 825-853
The paper presents empirical evidence based on the U.S. Consumer Expenditure Survey that accounting for limited asset market participation is important for estimating the elasticity of intertemporal substitution. Differences in estimates of the EIS between asset holders and nonasset holders are large and statistically significant. This is the case whether estimating the EIS on the basis of the Euler equation for stock index returns or the Euler equation for Treasury bills, in each case distinguishing between asset holders and nonasset holders as best as possible. Estimates of the EIS are around 0.30.4 for stockholders and around 0.81 for bondholders and are larger for households with larger asset holdings within these two groups.
References: Add references at CitEc
Citations View citations in EconPapers (256) Track citations by RSS feed
Downloads: (external link)
http://dx.doi.org/10.1086/340782 main text (application/pdf)
Access to the online full text or PDF requires a subscription.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:ucp:jpolec:v:110:y:2002:i:4:p:825-853
Access Statistics for this article
Journal of Political Economy is currently edited by August
More articles in Journal of Political Economy from University of Chicago Press
Series data maintained by Journals Division ().