| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24948 |
| 来源ID | Working Paper 24948 |
| Estimating the Elasticity of Intertemporal Substitution Using Mortgage Notches | |
| Michael Carlos Best; James Cloyne; Ethan Ilzetzki; Henrik Kleven | |
| 发表日期 | 2018-09-03 |
| 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 | Microeconomics ; Households and Firms ; Macroeconomics ; Consumption and Investment ; Money and Interest Rates ; Public Economics ; Taxation |
| URL | https://www.nber.org/papers/w24948 |
| 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/582622 |
| 推荐引用方式 GB/T 7714 | Michael Carlos Best,James Cloyne,Ethan Ilzetzki,et al. Estimating the Elasticity of Intertemporal Substitution Using Mortgage Notches. 2018. |
| 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 | ||
| w24948.pdf（925KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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