IS THE ELASTICITY OF INTERTEMPORAL SUBSTITUTION CONSTANT?

• 成果类型: Article
• 署名作者: Crossley, Thomas F.; Low, Hamish W.
• 署名单位: University of Cambridge
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/j.1542-4774.2010.01001.x
• 发表日期: 2011
• 页码: 87-105
• 关键词: risk-aversion; temporal behavior; habit formation; asset returns; consumption; demand; allocation; utility

摘要

In all common models of inter-temporal allocation, the assumption of a constant elasticity of intertemporal substitution (EIS) imposes surprising limitations on within-period budget allocations. Consequently, the constant EIS assumption can be tested with demand data. In fact, the EIS is pinned down completely by the shape of Engel curves: if the EIS is constant then the EIS can be estimated without variation in the interest rate. That a price elasticity can be estimated without variation in the relevant price illustrates just how strong the constant EIS assumption is. The constant EIS assumption is rejected by demand data.