| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0236 |
| 来源ID | Technical Working Paper 0236 |
| Approximation Bias in Linearized Euler Equations | |
| Sydney Ludvigson; Christina H. Paxson | |
| 发表日期 | 1999-03-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | A wide range of empirical applications rely on linear approximations to dynamic Euler equations. Among the most notable of these is the large and growing literature on precautionary saving that examines how consumption growth and saving behavior are affected by uncertainty and prudence. Linear approximations to Euler equations imply a linear relationship between expected consumption growth and uncertainty in consumption growth, with a slope coefficient that is a function of the coefficient of relative prudence. This literature has produced puzzling results: Estimates of the coefficient of relative prudence (and the coefficient of relative risk aversion) from regressions of consumption growth on uncertainty in consumption growth imply estimates of prudence and risk aversion that are unrealistically low. Using numerical solutions to a fairly standard intertemporal optimization problem, our results show that the actual relationship between expected consumption growth and uncertainty in consumption growth differs substantially from the relationship implied by a linear approximation. We also present Monte Carlo evidence that shows that the instrumental variables methods commonly used to estimate the parameters correct some, but not all, of the approximation bias. |
| URL | https://www.nber.org/papers/t0236 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564505 |
| 推荐引用方式 GB/T 7714 | Sydney Ludvigson,Christina H. Paxson. Approximation Bias in Linearized Euler Equations. 1999. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0236.pdf（356KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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