| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8233 |
| DP8233 Estimating the Aggregate Consumption Euler Equation with State-Dependent Parameters | |
| Haroon Mumtaz; Paolo Surico | |
| 发表日期 | 2011-02-08 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | The consumption Euler equation is a building block of modern macro theory. Yet, the existing evidence on aggregate data offers very conflicting results for the estimates of the degree of forward-lookingness and interest rate semi-elasticity. The disappointing performance can be rationalized by estimating an Euler equation in which the parameters are allowed to vary with the state of the economy. The nonlinear method reveals that during periods in which consumption is above its conditional average the estimates of the degree of forward-lookingness and interest rate semi-elasticity are significantly larger (in absolute value) than the estimates associated with periods of below-average consumption. Our evidence is consistent with models of state-dependence or heterogeneity in the discount factor and the elasticity of intertemporal substitution. |
| 主题 | International Macroeconomics |
| 关键词 | Aggregate consumption Euler equation Heterogeneity State-dependence |
| URL | https://cepr.org/publications/dp8233 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537071 |
| 推荐引用方式 GB/T 7714 | Haroon Mumtaz,Paolo Surico. DP8233 Estimating the Aggregate Consumption Euler Equation with State-Dependent Parameters. 2011. |
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