Please use this identifier to cite or link to this item: https://repositorio.insper.edu.br/handle/11224/4503
Type: Artigo Científico
Title: Estimating the elasticity of intertemporal substitution taking into account the precautionary savings motive
Author: Gomes, Fábio Augusto Reis
Ribeiro, Priscila Fernandes
Publication Date: 2015
Abstract: This paper estimates the elasticity of intertemporal substitution for U.S. aggregate time series data, taking into account the precautionary savings motive. By making use of a recursive utility function, we estimate an Euler equation, via GMM. This procedure leads consumption growth rate to depend on asset returns, and on a time-varying variance, which captures the precautionary motive. When significant, the elasticity of intertemporal substi tution estimates ranges from 0.4 to 1.8, which are higher than most of the results found in the literature. Furthermore, the evidence suggests that consumers react to risk; however, the contribution of precautionary motive to consumption growth seems to be limited.
Keywords (english terms): Consumption
Asset returns
Elasticity of intertemporal substitution
Precautionary savings
Nonexpected utility
Subject: Consumo de energia
Language: Inglês
CNPq Area: Ciências Sociais Aplicadas
URI: https://www.sciencedirect.com/science/article/pii/S0164070415000439
Copyright: O INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR
Notes: O INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR
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