TY  - JOUR
AU  - Vissing-Jorgensen,Annette
TI  - Limited Asset Market Participation and the Elasticity of Intertemporal Substitution
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8896
PY  - 2002
Y2  - April 2002
UR  - http://www.nber.org/papers/w8896
L1  - http://www.nber.org/papers/w8896.pdf
N1  - Author contact info:
Annette Vissing-Jorgensen
Finance Department
Kellogg School of Management
Northwestern University
2001 Sheridan Road
Evanston, IL  60208-2001
Tel: 847/467-6171
Fax: 847/491-5719
E-Mail: a-vissing@northwestern.edu
AB  - The paper presents empirical evidence based on the US Consumer Expenditure Survey that accounting for limited asset market participation is important for estimating the elasticity of intertemporal substitution (EIS). Differences in estimates of the EIS between assetholders and non-assetholders are large and statistically significant. This is the case whether estimating the EIS based on the Euler equation for stock index returns or the Euler equation for T-bills, in each case distinguishing between assetholders and non-assetholders as best 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.
ER  -