The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Limited Asset Market Participation and the Elasticity of Intertemporal Substitution
Abstract
The paper presents empirical evidence based on the U.S. Consumer Expenditure Survey that accounting for limited asset market participation is important for estimating the elasticity of intertemporal substitution. Differences in estimates of the EIS between asset holders and non–asset holders are large and statistically significant. This is the case whether estimating the EIS on the basis of the Euler equation for stock index returns or the Euler equation for Treasury bills, in each case distinguishing between asset holders and non–asset holders as best as possible. Estimates of the EIS are around 0.3–0.4 for stockholders and around 0.8–1 for bondholders and are larger for households with larger asset holdings within these two groups.
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Gross, D. B., & Souleles, N. S. (2002) · The Quarterly Journal of Economics · doi:10.1162/003355302753399472 · Cited by 867
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Lin, M., Lucas, H. C., & Shmueli, G. (2013) · Information Systems Research · doi:10.1287/isre.2013.0480 · Cited by 972
A Demand System Approach to Asset Pricing
Koijen, R. S. J., & Yogo, M. (2019) · Journal of Political Economy · doi:10.1086/701683 · Cited by 688
Gomes, F., Haliassos, M., & Ramadorai, T. (2021) · Journal of Economic Literature · doi:10.1257/jel.20201461 · Cited by 396
Inequality, stock market participation, and the equity premium
Favilukis, J. (2013) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.10.008 · Cited by 156
Metadata
- Authors
- Vissing‐Jørgensen, A.
- Venue
- Journal of Political Economy
- Publisher
- University of Chicago Press
- Published
- 2002-08
- Volume
- 110
- Issue
- 4
- Pages
- 825-853
- ISSN
- 0022-3808 (ISSN-L)
- 1537-534X
- OpenAlex
- W3122790088
- Cited by
- 1,011
- References
- 1
- FWCI
- 110.84
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
