Consumption-leisure nonseparabilities in asset market participants' preferences

• 成果类型: Article
• 署名作者: Jacobs, Kris
• 署名单位: McGill University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.11.001
• 发表日期: 2007
• 页码: 2131-2138
• 关键词: Incomplete markets; asset market participation; dynamic macroeconomics; nonseparability; Euler equation

摘要

We use panel data to estimate nonlinear Euler equations for preferences that are nonseparable in consumption and leisure. This approach departs from existing panel data studies that investigate linearizations and/or separable preferences. Intuitively plausible estimates are obtained only when excluding nonassetholders from the sample, which indicates the importance of asset market participation. For market participants, estimated parameter values are intuitively appealing, but differ from existing estimates. They also differ from parameter values commonly used in computational experiments. These findings have implications for the extensive literature in macroeconomics and finance that studies models of intertemporal decision-making, and they confirm the importance of market incompleteness. (c) 2006 Elsevier B.V. All rights reserved.