Estimating the Elasticity of Intertemporal Substitution Using Mortgage Notches
NBER Working Paper No. 24948
---- Acknowledgments ----
We thank the editor, Adam Szeidl, four anonymous referees, Orazio Attanasio, Adrien Auclert, Chris Carroll, Raj Chetty, Jeff Clemens, Gordon Dahl, Mariacristina De Nardi, Rebecca Diamond, Roger Gordon, Bob Hall, Ethan Kaplan, Greg Kaplan, Patrick Kehoe, David Laibson, Emi Nakamura, Petra Persson, Ricardo Reis, Jose-Victor Rios-Rull, Emmanuel Saez, Orie Shelef, Jón Steinsson, Gregory Thwaites, Gianluca Violante, Garry Young, and Stephen Zeldes for helpful comments and discussion. All charts and estimates use data provided to the Bank of England by the Financial Conduct Authority and MoneyFacts. This research was carried out as part of the Bank of England’s One Bank Research Agenda and an earlier draft was circulated under the title “Interest rates, debt and intertemporal allocation: evidence from notched mortgage contracts in the United Kingdom.” The views expressed are those of the authors and do not necessarily reflect the views of the Bank of England, the Monetary Policy Committee, the Financial Policy Committee, the Prudential Regulatory Authority, or the National Bureau of Economic Research.
---- Disclosure of Financial Relationships for James Cloyne ----
Part of this work was conducted while James Cloyne was employed as a research economist at the Bank of England. The views expressed are those of the authors and do not necessarily reflect the views of the Bank of England, the Monetary Policy Committee, the Financial Policy Committee or the Prudential Regulatory Authority.