| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17130 |
| 来源ID | Working Paper 17130 |
| An Estimation of Economic Models with Recursive Preferences | |
| Xiaohong Chen; Jack Favilukis; Sydney C. Ludvigson | |
| 发表日期 | 2011-06-16 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model, evaluates the model's ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return. Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17-60, with higher values for aggregate consumption than for stockholder consumption, while the estimated elasticity of intertemporal substitution is above one. In addition, the estimated model-implied aggregate wealth return is found to be weakly correlated with the CRSP value-weighted stock market return, suggesting that the return to human wealth is negatively correlated with the aggregate stock market return. |
| 主题 | Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w17130 |
| 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/574804 |
| 推荐引用方式 GB/T 7714 | Xiaohong Chen,Jack Favilukis,Sydney C. Ludvigson. An Estimation of Economic Models with Recursive Preferences. 2011. |
| 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 | ||
| w17130.pdf（527KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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