Estimating the elasticity of intertemporal substitution with leverage
Fecha
2017Versión
Acceso abierto / Sarbide irekia
Tipo
Artículo / Artikulua
Versión
Versión aceptada / Onetsi den bertsioa
Impacto
|
10.1016/j.najef.2017.03.005
Resumen
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 growt ...
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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. [--]
Materias
Elasticity of intertemporal substitution,
Leverage,
Consumption,
Recursive preferences,
Dynamic estimation
Editor
Elsevier
Publicado en
North American Journal of Economics and Finance, 41 (2017) 18-31
Departamento
Universidad Pública de Navarra. Departamento de Gestión de Empresas /
Nafarroako Unibertsitate Publikoa. Enpresen Kudeaketa Saila
Versión del editor
Entidades Financiadoras
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).