Estimation of Discount Factor ÃŸ and Coefficient of Relative Risk Aversion ? in Selected Countries
Adnan Haider () and
Javed Iqbal ()
Working Papers from eSocialSciences
The long-run discount factor for a group of developed and developing countries is estimated through standard methodology incorporating adaptive expectations of inflation. In the second part, while considering a standard Euler equation for household's intertemporal consumption, the parameter of constant relative risk aversion (CRRA) for Pakistan is estimated by using the Generalized Method of Moments (GMM) approach. The resulting parameter value of CRRA conforms to the empirical range for developing countries (as given in, Cardenas and Carpenter, 2008) The GMM estimator for the discount factor reinforces its result from the first part of the paper. [SBP WP no. 53]. URL:[http://www.sbp.org.pk/publications/wpapers/2012/wp53.pdf].
Keywords: Discount Factor; relative risk; economics; future returns (search for similar items in EconPapers)
Note: Institutional Papers
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17) Track citations by RSS feed
Downloads: (external link)
http://www.esocialsciences.org/Download/repecDownl ... &AId=5087&fref=repec
Working Paper: Estimation of Discount Factor and Coefficient of Relative Risk Aversion in Selected Countries (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ess:wpaper:id:5087
Access Statistics for this paper
More papers in Working Papers from eSocialSciences
Bibliographic data for series maintained by Padma Prakash ().