Estimating the elasticity of intertemporal substitution with leverage

González Urteaga, Ana; Rubio Irigoyen, Gonzalo

Publication:
Estimating the elasticity of intertemporal substitution with leverage

dc.contributor.author	González Urteaga, Ana
dc.contributor.author	Rubio Irigoyen, Gonzalo
dc.contributor.department	Gestión de Empresas	es_ES
dc.contributor.department	Enpresen Kudeaketa	eu
dc.date.accessioned	2019-09-06T07:11:29Z
dc.date.available	2019-09-06T07:11:29Z
dc.date.issued	2017
dc.description.abstract	Following the recent literature on intermediary asset pricing models, this paper argues that the marginal utility of wealth of financial intermediaries can be used to generate enough volatility and counter-cyclicality on the recursive preference-based stochastic discount factor. Hence, a dynamic econometric strategy of an asset pricing model with the market portfolio return and the leverage growth of financial intermediaries allows for a sensible economic estimate of the elasticity of intertemporal substitution. On the contrary, the same framework with alternative measures of consumption produces extremely poor economic results.	en
dc.description.sponsorship	The authors acknowledge financial support from the Ministry of Economics and Competitiveness through Grant ECO2015-67035-P.In addition, Gonzalo Rubio acknowledges financial support from Generalitat Valenciana Grant PROMETEOII/2013/015 and from the Bank of Spain, and Ana González-Urteaga acknowledges financial support from the Ministry of Economics and Competitiveness through Grant ECO2016-77631-R (AEI/FEDER,UE).	en
dc.format.extent	38 p.
dc.format.mimetype	application/pdf	en
dc.identifier.doi	10.1016/j.najef.2017.03.005
dc.identifier.issn	1062-9408
dc.identifier.uri	https://academica-e.unavarra.es/handle/2454/34756
dc.language.iso	eng	en
dc.publisher	Elsevier	en
dc.relation.ispartof	North American Journal of Economics and Finance, 41 (2017) 18-31	en
dc.relation.projectID	info:eu-repo/grantAgreement/MINECO//ECO2015-67035-P/ES/	en
dc.relation.projectID	info:eu-repo/grantAgreement/ES/1PE/ECO2016-77631-R	en
dc.relation.publisherversion	https://doi.org/10.1016/j.najef.2017.03.005
dc.rights	© 2017 Elsevier Inc. The manuscript version is made available under the CC BY-NC-ND 4.0 license.	en
dc.rights.accessRights	info:eu-repo/semantics/openAccess
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subject	Elasticity of intertemporal substitution	en
dc.subject	Leverage	en
dc.subject	Consumption	en
dc.subject	Recursive preferences	en
dc.subject	Dynamic estimation	en
dc.title	Estimating the elasticity of intertemporal substitution with leverage	en
dc.type	info:eu-repo/semantics/article
dc.type.version	info:eu-repo/semantics/acceptedVersion	en
dc.type.version	Versión aceptada / Onetsi den bertsioa	es
dspace.entity.type	Publication
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