Cross-country heterogeneity in intertemporal substitution

• 成果类型: Article
• 署名作者: Havranek, Tomas; Horvath, Roman; Irsova, Zuzana; Rusnak, Marek
• 署名单位: Czech National Bank; Charles University Prague; Leibniz Institut fur Ost und Sudosteuropaforschung
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2015.01.012
• 发表日期: 2015
• 页码: 100-118
• 关键词: Elasticity of intertemporal substitution; consumption; Meta-analysis; Bayesian model averaging

摘要

We collect 2735 estimates of the elasticity of intertemporal substitution in consumption from 169 published studies that cover 104 countries during different time periods. The estimates vary substantially from country to country, even after controlling for 30 aspects of study design. Our results suggest that income and asset market participation are the most effective factors in explaining the heterogeneity: households in rich countries and countries with high stock market participation substitute a larger fraction of consumption intertemporally in response to changes in expected asset returns. Micro-level studies that focus on sub-samples of rich households or asset holders also find systematically larger values of the elasticity. (C) 2015 Elsevier B.V. All rights reserved.