Robust comparative statics for the elasticity of intertemporal substitution

• 成果类型: Article
• 署名作者: Flynn, Joel P. P.; Schmidt, Lawrence D. W.; Toda, Alexis Akira
• 署名单位: Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); University of California System; University of California San Diego
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE4117
• 发表日期: 2023-01-01
• 页码: 231-265
• 关键词: Elasticity of intertemporal substitution; identification; recursive preferences; D15

摘要

We study a general class of consumption-savings problems with recursive preferences. We characterize the sign of the consumption response to arbitrary shocks in terms of the product of two sufficient statistics: the elasticity of intertemporal substitution (EIS) between contemporaneous consumption and continuation utility, and the relative elasticity of the marginal value of wealth (REMV). Under homotheticity, the REMV always equals 1, so the propensity of the agent to save or dis-save is always signed by the relationship of the EIS with unity. We apply our results to derive comparative statics in classical problems of portfolio allocation, consumption-savings with income risk, and entrepreneurial investment. Our results suggest empirical identification strategies for both the value of the EIS and its relationship with unity.