论文标题
稳定性的鲁棒静态静脉静态静脉
Robust Comparative Statics for the Elasticity of Intertemporal Substitution
论文作者
论文摘要
我们研究了一类递归偏好的一般消费措施问题。我们根据两个足够的统计数据的产物来表征对任意冲击的消费反应的迹象：同时消费和延续效用（EIS）之间跨期替代的弹性，以及财富边际价值的相对弹性（REMV）。在同质性的情况下，REMV始终等于一个，因此代理商拯救或脱落的倾向始终由EIS与统一的关系签署。我们将结果应用于投资组合分配的经典问题，具有收入风险的消费和企业家投资的经典问题。我们的结果表明，EIS的价值及其与统一的关系的经验识别策略。
We study a general class of consumption-savings problems with recursive preferences. We characterize the sign of the consumption response to arbitrary shocks in terms of the product of two sufficient statistics: the elasticity of intertemporal substitution between contemporaneous consumption and continuation utility (EIS), and the relative elasticity of the marginal value of wealth (REMV). Under homotheticity, the REMV always equals one, so the propensity of the agent to save or dis-save is always signed by the relationship of the EIS with unity. We apply our results to derive comparative statics in classical problems of portfolio allocation, consumption-savings with income risk, and entrepreneurial investment. Our results suggest empirical identification strategies for both the value of the EIS and its relationship with unity.
