Empirical evidence on the Euler equation for consumption in the US

• 成果类型: Article
• 署名作者: Ascari, Guido; Magnusson, Leandro M.; Mavroeidis, Sophocles
• 署名单位: University of Oxford; University of Pavia; University of Western Australia
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2019.12.004
• 发表日期: 2021
• 关键词: consumption; Euler equation; weak identification

摘要

Recently developed econometric methods, that are robust to weak instruments and exploit information in possible structural changes, are applied to study the Euler equation for consumption using aggregate US post-war data. Several extensions to the baseline Euler equation model are investigated. The results are insensitive to using linear versus nonlinear specifications, different instruments or different consumption data, but they are very sensitive to asset returns. With risk-free returns, the elasticity of intertemporal substitution is tightly estimated around zero, while with stock market returns, it is significantly positive but very imprecisely estimated. There is no evidence of parameter instability. (C) 2020 The Authors. Published by Elsevier B.V.