MEASURING INTERTEMPORAL SUBSTITUTION: THE IMPORTANCE OF METHOD CHOICES AND SELECTIVE REPORTING

• 成果类型: Article
• 署名作者: Havranek, Tomas
• 署名单位: Czech National Bank; Charles University Prague
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/jeea.12133
• 发表日期: 2015
• 页码: 1180-1204
• 关键词: risk-aversion; long-run; consumption growth; asset prices; life-cycle; elasticity; income; spillovers; preference; variables

摘要

I examine 2,735 estimates of the elasticity of intertemporal substitution in consumption (EIS) reported in 169 published studies. The literature shows strong selective reporting: researchers discard negative and insignificant estimates too often, which pulls the mean estimate up by about 0.5. The reporting bias dwarfs the effects of methods, with the exception of the choice between micro and macro data. When I correct the mean for the bias, for macro estimates I get zero, even though the reported t-statistics are on average two. The corrected mean of micro estimates of the EIS for asset holders is around 0.3-0.4. Calibrations greater than 0.8 are inconsistent with the bulk of the empirical evidence.