Limited Asset Market Participation and the Elasticity of Intertemporal Substitution

Annette Vissing-Jorgensen

No 8896, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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 are large and statistically significant. This is the case whether estimating the EIS based on the Euler equation for stock index returns or the Euler equation for T-bills, in each case distinguishing between assetholders and non-assetholders as best possible. Estimates of the EIS are around 0.3-0.4 for stockholders and around 0.8-1 for bondholders, and are larger for households with larger asset holdings within these two groups.

JEL-codes: E2 G1 (search for similar items in EconPapers)
Date: 2002-04
Note: EFG
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (357)

Published as Vissing-Jorgensen, Annette. "Limited Asset Market Participation And The Elasticity Of Intertemporal Substitution," Journal of Political Economy, 2002, v110(4,Aug), 825-853.

Downloads: (external link)
http://www.nber.org/papers/w8896.pdf (application/pdf)

Related works:
Journal Article: Limited Asset Market Participation and the Elasticity of Intertemporal Substitution (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:8896

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w8896

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().