Access

You are not currently logged in.

Access your personal account or get JSTOR access through your library or other institution:

login

Log in to your personal account or through your institution.

If You Use a Screen Reader

This content is available through Read Online (Free) program, which relies on page scans. Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.

Limited Asset Market Participation and the Elasticity of Intertemporal Substitution

Annette Vissing‐Jørgensen
Journal of Political Economy
Vol. 110, No. 4 (August 2002), pp. 825-853
DOI: 10.1086/340782
Stable URL: http://www.jstor.org/stable/10.1086/340782
Page Count: 29
  • Read Online (Free)
  • Download ($14.00)
  • Subscribe ($19.50)
  • Cite this Item
Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Limited Asset Market Participation and the Elasticity of Intertemporal Substitution
Preview not available

Abstract

The paper presents empirical evidence based on the U.S. Consumer Expenditure Survey that accounting for limited asset market participation is important for estimating the elasticity of intertemporal substitution. Differences in estimates of the EIS between asset holders and non–asset holders are large and statistically significant. This is the case whether estimating the EIS on the basis of the Euler equation for stock index returns or the Euler equation for Treasury bills, in each case distinguishing between asset holders and non–asset holders as best as 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.

Page Thumbnails

  • Thumbnail: Page 
1
    1
  • Thumbnail: Page 
2
    2
  • Thumbnail: Page 
3
    3
  • Thumbnail: Page 
4
    4
  • Thumbnail: Page 
5
    5
  • Thumbnail: Page 
6
    6
  • Thumbnail: Page 
7
    7
  • Thumbnail: Page 
8
    8
  • Thumbnail: Page 
9
    9
  • Thumbnail: Page 
10
    10
  • Thumbnail: Page 
11
    11
  • Thumbnail: Page 
12
    12
  • Thumbnail: Page 
13
    13
  • Thumbnail: Page 
14
    14
  • Thumbnail: Page 
15
    15
  • Thumbnail: Page 
16
    16
  • Thumbnail: Page 
17
    17
  • Thumbnail: Page 
18
    18
  • Thumbnail: Page 
19
    19
  • Thumbnail: Page 
20
    20
  • Thumbnail: Page 
21
    21
  • Thumbnail: Page 
22
    22
  • Thumbnail: Page 
23
    23
  • Thumbnail: Page 
24
    24
  • Thumbnail: Page 
25
    25
  • Thumbnail: Page 
26
    26
  • Thumbnail: Page 
27
    27
  • Thumbnail: Page 
28
    28
  • Thumbnail: Page 
29
    29