An estimation of economic models with recursive preferences

• 成果类型: Article
• 署名作者: Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C.
• 署名单位: Yale University; University of London; London School Economics & Political Science; New York University; National Bureau of Economic Research
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE97
• 发表日期: 2013
• 页码: 39-83
• 关键词: Consumption based asset pricing; semiparametric estimation; limited stock market participation

摘要

This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) recursive utility model, evaluates the model's ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return. Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17 to 60, with higher values for aggregate consumption than for stockholder consumption, while the estimated elasticity of intertemporal substitution is above 1. In addition, the estimated model-implied aggregate wealth return is found to be weakly correlated with the Center for Research in Security Prices value-weighted stock market return, suggesting that the return to human wealth is negatively correlated with the aggregate stock market return.