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An Estimate of the Elasticity of Intertemporal Substitution in a Production Economy

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Author Info
Taiji Harashima (tharashm@sk.tsukuba.ac.jp)

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Abstract

The elasticity of intertemporal substitution (EIS) at the macro level has been estimated mostly based on endowment economy models and these estimates are very sensitive to the choice of interest rates that are used for estimation. Estimates based on production economy models do not need information on interest rates but require endogenous growth models that are free from both scale effects and the strong influence of population growth. Such a model is constructed and EIS is estimated without information on interest rates. The result indicates that EIS at the macro level is as low as 0.09.

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Paper provided by EconWPA in its series Macroeconomics with number 0508030.

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Length: 26 pages
Date of creation: 31 Aug 2005
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Handle: RePEc:wpa:wuwpma:0508030

Note: Type of Document - pdf; pages: 26
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Related research
Keywords: The elasticity of intertemporal substitution; The degree of relative risk aversion; Production economy; Endogenous growth model;

Find related papers by JEL classification:
D90 - Microeconomics - - Intertemporal Choice and Growth - - - General
E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
O40 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General

References listed on IDEAS
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    Other versions:
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    Other versions:
  3. Taiji Harashima, 2005. "Trade Liberalization and Heterogeneous Time Preference across Countries: A Possibility of Trade Deficits with China," International Trade 0505015, EconWPA, revised 02 Jun 2005. [Downloadable!]
  4. John Y. Campbell & N. Gregory Mankiw, 1989. "Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 185-246 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:
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    Other versions:
  6. Jorion, Philippe & Giovannini, Alberto, 1993. "Time-series tests of a non-expected-utility model of asset pricing," European Economic Review, Elsevier, vol. 37(5), pages 1083-1100, June. [Downloadable!] (restricted)
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  7. Kandel, Shmuel & Stambaugh, Robert F., 1991. "Asset returns and intertemporal preferences," Journal of Monetary Economics, Elsevier, vol. 27(1), pages 39-71, February. [Downloadable!] (restricted)
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  13. Alwyn Young, 1998. "Growth without Scale Effects," Journal of Political Economy, University of Chicago Press, vol. 106(1), pages 41-63, February. [Downloadable!] (restricted)
  14. repec:fth:harver:1435 is not listed on IDEAS
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  17. Masao Ogaki & Carmen M. Reinhart, 1998. "Measuring Intertemporal Substitution: The Role of Durable Goods," Journal of Political Economy, University of Chicago Press, vol. 106(5), pages 1078-1098, October. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. GROWIEC, Jakub, 2006. "Fertility choice and semi-endogenous growth: where Becker meets Jones," CORE Discussion Papers 2006023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Other versions:
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