Arbeitspapier
Estimating intertemporal elasticity of substitution in a sticky price model
Cancellation of income and substitution effect implied by King-Plosser-Rebelo (1988) preferences breaks tight coefficient restriction between the slope of the Phillips curve and the elasticity of consumption with respect to real interest rate in a sticky price macro model. This facilitates the estimation of intertemporal elasticity of substitution using full information Bayesian Maximum Likelihood techniques within a structural model. The US data from the period 1984 - 2007 supports low intertemporal elasticity of substitution and strongly rejects a logarithmic and an additively separable utility specification commonly applied in the New Keynesian literature.
- ISBN
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978-952-6699-12-7
- Sprache
-
Englisch
- Erschienen in
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Series: Bank of Finland Research Discussion Papers ; No. 9/2013
- Klassifikation
-
Wirtschaft
Business Fluctuations; Cycles
Monetary Policy
Macroeconomics: Consumption; Saving; Wealth
- Thema
-
Monetary policy
Bayesian estimation
Non-separable utility
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kilponen, Juha
Vilmunen, Jouko
Vähämaa, Oskari
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kilponen, Juha
- Vilmunen, Jouko
- Vähämaa, Oskari
- Bank of Finland
Entstanden
- 2013
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