| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13104 |
| DP13104 Estimating the Elasticity of Intertemporal Substitution Using Mortgage Notches | |
| Michael Best; James Cloyne; Ethan Ilzetzki; Henrik Kleven | |
| 发表日期 | 2018-08-07 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Using a novel source of quasi-experimental variation in interest rates, we develop a new approach to estimating the Elasticity of Intertemporal Substitution (EIS). In the UK, the mortgage interest rate features discrete jumps -- notches -- at thresholds for the loan-to-value (LTV) ratio. These notches generate large bunching below the critical LTV thresholds and missing mass above them. We develop a dynamic model that links these empirical moments to the underlying structural EIS. The average EIS is small, around 0.1, and quite homogeneous in the population. This finding is robust to structural assumptions and can allow for uncertainty, a wide range of risk preferences, portfolio reallocation, liquidity constraints, present bias, and optimization frictions. Our findings have implications for the numerous calibration studies that rely on larger values of the EIS. |
| 主题 | Monetary Economics and Fluctuations ; Public Economics |
| URL | https://cepr.org/publications/dp13104 |
| 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/541907 |
| 推荐引用方式 GB/T 7714 | Michael Best,James Cloyne,Ethan Ilzetzki,et al. DP13104 Estimating the Elasticity of Intertemporal Substitution Using Mortgage Notches. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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