Estimating intertemporal substitution in Japan
In this study, the intertemporal elastisity of substitution (IES) by consumers in Japan is estimated using the two-step estimating method used by Ogaki and Reinhart (Journal of Political Economy, 106, pp. 1079-98, 1998). This method is estimating the IES in consideration of intratemporal substitution between durables and nondurables. Consequently, the acquired estimated values are larger than the US values used by Ogaki and Reinhart.
Volume (Year): 11 (2004)
Issue (Month): 4 ()
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- Reinhart, Carmen & Ogaki, Masao, 1995.
"Measuring intertemporal substitution: The role of durable goods,"
13690, University Library of Munich, Germany.
- 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.
- Ogaki, M & Reinhart, C-M, 1995. "Measuring Intertemporal Substitution : The Role of Durable Goods," RCER Working Papers 404, University of Rochester - Center for Economic Research (RCER).
- Hansen, Lars Peter & Singleton, Kenneth J, 1996.
"Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 14(1), pages 53-68, January.
- Lars Peter Hansen & Kenneth J. Singleton, 1997. "Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors," NBER Technical Working Papers 0086, National Bureau of Economic Research, Inc.
- Nakano, Katsura & Saito, Makoto, 1998. "Asset Pricing in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 12(2), pages 151-166, June.
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