Some searches may not work properly. We apologize for the inconvenience.
My bibliography Save this paperEstimation of discount factor (beta) and coefficient of relative risk aversion (gamma) in selected countries
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Hall, Robert E, 1978. "Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence," Journal of Political Economy, University of Chicago Press, vol. 86(6), pages 971-987, December.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Amemiya, Yasuo, 1985. "Instrumental variable estimator for the nonlinear errors-in-variables model," Journal of Econometrics, Elsevier, vol. 28(3), pages 273-289, June.
- Fuhrer, Jeffrey C. & Moore, George R. & Schuh, Scott D., 1995.
"Estimating the linear-quadratic inventory model Maximum likelihood versus generalized method of moments,"
Journal of Monetary Economics, Elsevier, vol. 35(1), pages 115-157, February.
- Jeffrey C. Fuhrer & George R. Moore & Scott Schuh, 1993. "Estimating the linear-quadratic inventory model: maximum likelihood versus generalized method of moments," Finance and Economics Discussion Series 93-11, Board of Governors of the Federal Reserve System (U.S.).
- William A. Brock, 1982.
"Asset Prices in a Production Economy,"
NBER Chapters, in: The Economics of Information and Uncertainty, pages 1-46,
National Bureau of Economic Research, Inc.
- Brock, William A., 1980. "Asset Prices in a Production Economy," Working Papers 275, California Institute of Technology, Division of the Humanities and Social Sciences.
- Hansen, Lars Peter & Sargent, Thomas J., 1980.
"Formulating and estimating dynamic linear rational expectations models,"
Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 7-46, May.
- Lars Peter Hansen & Thomas J. Sargent, 1979. "Formulating and estimating dynamic linear rational expectations models," Working Papers 127, Federal Reserve Bank of Minneapolis.
- Sule Alan & Martin Browning, 2003. "Estimating Intertemporal Allocation Parameters using Simulated Residual Estimation," CAM Working Papers 2003-03, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Hall, Robert E, 1988.
"Intertemporal Substitution in Consumption,"
Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 339-357, April.
- Robert E. Hall, 1981. "Intertemporal Substitution in Consumption," NBER Working Papers 0720, National Bureau of Economic Research, Inc.
- Charles A. Holt & Susan K. Laury, 2002. "Risk Aversion and Incentive Effects," American Economic Review, American Economic Association, vol. 92(5), pages 1644-1655, December.
- Orazio P. Attanasio & Hamish Low, 2004.
"Estimating Euler Equations,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(2), pages 405-435, April.
- Orazio P. Attanasio & Hamish Low, 2000. "Estimating Euler Equations," NBER Technical Working Papers 0253, National Bureau of Economic Research, Inc.
- Orazio Attanasio & Hamish Low, 2002. "Estimating Euler equations," IFS Working Papers W02/06, Institute for Fiscal Studies.
- Hansen, Lars Peter & Singleton, Kenneth J, 1996.
"Efficient Estimation of Linear Asset-Pricing Models with Moving Average Errors,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 53-68, January.
- Lars Peter Hansen & Kenneth J. Singleton, 1997. "Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors," NBER Technical Working Papers 0086, National Bureau of Economic Research, Inc.
- Masao Ogaki & Carmen M. Reinhart, 1998.
"Measuring Intertemporal Substitution: The Role of Durable Goods,"
Journal of Political Economy, University of Chicago Press, vol. 106(5), pages 1078-1098, October.
- Ogaki, M & Reinhart, C-M, 1995. "Measuring Intertemporal Substitution : The Role of Durable Goods," RCER Working Papers 404, University of Rochester - Center for Economic Research (RCER).
- Reinhart, Carmen & Ogaki, Masao, 1995. "Measuring intertemporal substitution: The role of durable goods," MPRA Paper 13690, University Library of Munich, Germany.
- Epstein, Larry G & Zin, Stanley E, 1991. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 263-286, April.
- Kocherlakota, Narayana R., 1990. "On tests of representative consumer asset pricing models," Journal of Monetary Economics, Elsevier, vol. 26(2), pages 285-304, October.
- Pozzi, Lorenzo, 2003. "The coefficient of relative risk aversion: a Monte Carlo study investigating small sample estimator problems," Economic Modelling, Elsevier, vol. 20(5), pages 923-940, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Adnan Haider & Musleh ud Din & Ejaz Ghani, 2012.
"Monetary Policy, Informality and Business Cycle Fluctuations in a Developing Economy Vulnerable to External Shocks,"
The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 51(4), pages 609-681.
- Haider, Adnan & Din, Musleh-ud & Ghani, Ejaz, 2012. "Monetary policy, informality and business cycle fluctuations in a developing economy vulnerable to external shocks," MPRA Paper 42484, University Library of Munich, Germany.
- Adnan Haider & Musleh-ud Din & Ejaz Ghani, 2013. "Monetary Policy, Informality and Business Cycle Fluctuations in a Developing Economy Vulnerable to External Shocks," SBP Working Paper Series 65, State Bank of Pakistan, Research Department.
- Dufrénot, Gilles & Khayat, Guillaume A., 2017.
"Monetary Policy Switching In The Euro Area And Multiple Steady States: An Empirical Investigation,"
Macroeconomic Dynamics, Cambridge University Press, vol. 21(5), pages 1175-1188, July.
- Gilles Dufrénot & Guillaume A. Khayat, 2017. "Monetary Policy Switching in the Euro Area and Multiple Steady States: An Empirical Investigation," Post-Print hal-01590000, HAL.
- Shahid, Muhammad & Qayyum, Abdul & Shahid, Waseem, 2016.
"Fiscal and Monetary Policy Interactions in Pakistan Using a Dynamic Stochastic General Equilibrium Framework,"
MPRA Paper
72595, University Library of Munich, Germany.
- Shahid, Muhammad & Qayyum, Abdul & Shahid Malik, Waseem, 2016. "Fiscal and Monetary Policy Interactions in Pakistan Using a Dynamic Stochastic General Equilibrium Framework," MPRA Paper 85549, University Library of Munich, Germany, revised 2017.
- Abe Dunn & Joshua D Gottlieb & Adam Hale Shapiro & Daniel J Sonnenstuhl & Pietro Tebaldi, 2024.
"A Denial a Day Keeps the Doctor Away,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 139(1), pages 187-233.
- Abe Dunn & Joshua D. Gottlieb & Adam Shapiro & Daniel J. Sonnenstuhl & Pietro Tebaldi, 2021. "A Denial a Day Keeps the Doctor Away," NBER Working Papers 29010, National Bureau of Economic Research, Inc.
- Abe Dunn & Joshua D. Gottlieb & Adam Hale Shapiro & Daniel J. Sonnenstuhl & Pietro Tebaldi, 2023. "A Denial a Day Keeps the Doctor Away," Working Paper Series 2023-03, Federal Reserve Bank of San Francisco.
- Adnan Haider & Asad Jan & Kalim Hyder, 2013.
"On the (Ir)Relevance of Monetary Aggregate Targeting in Pakistan: An Eclectic View,"
Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 18(2), pages 65-119, July-Dec.
- Haider, Adnan & Jan, Asad & Hyder, Kalim, 2012. "On the (IR) Relevance of Monetary Aggregate Targeting in Pakistan: An Eclectic View," MPRA Paper 43422, University Library of Munich, Germany.
- Asad Jan & Adnan Haider & Syed Kalim Hyder Bukhari, 2013. "On The (Ir)relevance of Monetary Aggregate Targeting in Pakistan: An Eclectic View," SBP Working Paper Series 62, State Bank of Pakistan, Research Department.
- Gilles Dufrénot & Anwar Khayat, 2014.
"Monetary Policy Switching in the Euro Area and Multiple Equilibria: An Empirical Investigation,"
Working Papers
halshs-00973504, HAL.
- Gilles Dufrénot & Anwar Khayat, 2014. "Monetary Policy Switching in the Euro Area and Multiple Equilibria: An Empirical Investigation," AMSE Working Papers 1408, Aix-Marseille School of Economics, France, revised Jan 2014.
- Amin Sakib & Marsiliani Laura, 2015.
"Energy price shocks in dynamic stochastic general equilibrium: the case of Bangladesh,"
Review of Business and Economics Studies, CyberLeninka;Федеральное государственное образовательное бюджетное учреждение высшего профессионального образования «Финансовый университет при Правительстве Российской Федерации» (Финансовый университет), issue 4, pages 12-21.
- S. Amin & L. Marsiliani, 2015. "Energy Price Shocks In Dynamic Stochastic General Equilibrium: The Case Of Bangladesh," Review of Business and Economics Studies // Review of Business and Economics Studies, Финансовый Университет // Financial University, vol. 3(4), pages 12-21.
- Hugo Reis, 2020.
"Girls' Schooling Choices And Home Production: Evidence From Pakistan,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(2), pages 783-819, May.
- Reis, Hugo, 2015. "Girls' Schooling Choices and Home Production: Evidence from Pakistan," IZA Discussion Papers 9562, Institute of Labor Economics (IZA).
- Ahmed, Waqas & Rehman, Muhammad & Malik, Jahanzeb, 2013.
"Quarterly Bayesian DSGE Model of Pakistan Economy with Informality,"
MPRA Paper
53168, University Library of Munich, Germany.
- Waqas Ahmed & Muhammad Jahanzeb Malik & Muhammad Rehman, 2014. "Quarterly Bayesian DSGE Model of Pakistan Economy with Informality," SBP Working Paper Series 68, State Bank of Pakistan, Research Department.
- Vera Ivanova & Philip Ushchev, 2019. "Product Differentiation, Competitive Toughness, and Intertemporal Substitution," Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(3), pages 1244-1269, July.
- Etelvina Stefani Chavez & Gastón Milanesi & Gabriela Pesce, 2021. "Aversión al riesgo implícita en los precios de mercado de diferentes activos financieros de Argentina," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-23, Enero - M.
- Tina L. Saitone & Richard J. Sexton & Benoît Malan, 2018. "Price premiums, payment delays, and default risk: understanding developing country farmers’ decisions to market through a cooperative or a private trader," Agricultural Economics, International Association of Agricultural Economists, vol. 49(3), pages 363-380, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Waqas Ahmed & Adnan Haider & Javed Iqbal, 2012.
"Estimation of Discount Factor ß and Coefficient of Relative Risk Aversion ? in Selected Countries,"
Working Papers
id:5087, eSocialSciences.
- Waqas Ahmed & Adnan Haider & Javed Iqbal, 2012. "Estimation of Discount Factor and Coefficient of Relative Risk Aversion in Selected Countries," SBP Working Paper Series 53, State Bank of Pakistan, Research Department.
- Pozzi, Lorenzo, 2003. "The coefficient of relative risk aversion: a Monte Carlo study investigating small sample estimator problems," Economic Modelling, Elsevier, vol. 20(5), pages 923-940, September.
- Julian Thimme, 2017. "Intertemporal Substitution In Consumption: A Literature Review," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 226-257, February.
- Stanislav Anatolyev, 2007.
"Optimal Instruments In Time Series: A Survey,"
Journal of Economic Surveys, Wiley Blackwell, vol. 21(1), pages 143-173, February.
- Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, New Economic School (NES).
- Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
- Antonio Cutanda & José M. Labeaga & Juan A. Sanchis-Llopis, 2020.
"Aggregation biases in empirical Euler consumption equations: evidence from Spanish data,"
Empirical Economics, Springer, vol. 58(3), pages 957-977, March.
- Oscar Antonio Cutanda & José María Labeaga & Juan Sanchis-Llopis, 2018. "Aggregation biases in empirical Euler consumption equations: evidence from Spanish data," Working Papers 1801, Department of Applied Economics II, Universidad de Valencia.
- Mudit Kapoor & Shamika Ravi, 2017. "Elasticity of Intertemporal Substitution in Consumption in the Presence of Inertia: Empirical Evidence from a Natural Experiment," Management Science, INFORMS, vol. 63(12), pages 4188-4200, December.
- Irina Khvostova & Alexander Larin & Anna Novak, 2016.
"Euler Equation with Habits and Measurement Errors: Estimates on Russian Micro Data,"
Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 63(4), pages 395-409.
- Irina Khvostova & Alexander Larin & Anna Novak, 2014. "Euler equation with habits and measurement errors: estimates on Russian micro data," HSE Working papers WP BRP 52/EC/2014, National Research University Higher School of Economics.
- Keunbae Ahn, 2021. "Predictable Fluctuations in the Cross-Section and Time-Series of Asset Prices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2021, January-A.
- Paulo Rogério Faustino Matos, 2019. "The role of household debt and delinquency decisions in consumption-based asset pricing," Annals of Finance, Springer, vol. 15(2), pages 179-203, June.
- Sule Alan & Orazio Attanasio & Martin Browning, 2009.
"Estimating Euler equations with noisy data: two exact GMM estimators,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(2), pages 309-324, March.
- Sule Alan & Orazio Attanasio & Martin Browning, 2005. "Estimating Euler Equations with Noisy Data: Two Exact GMM Estimators," CAM Working Papers 2005-10, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Martin Browning & Sule Alan & Orazio Attanasio, 2006. "Estimating Euler Equations with Noisy Data: Two Exact GMM Estimators," Economics Series Working Papers 283, University of Oxford, Department of Economics.
- Masakatsu Okubo, 2011. "The Intertemporal Elasticity of Substitution: An Analysis Based on Japanese Data," Economica, London School of Economics and Political Science, vol. 78(310), pages 367-390, April.
- Giuliano, Paola & Turnovsky, Stephen J., 2003.
"Intertemporal substitution, risk aversion, and economic performance in a stochastically growing open economy,"
Journal of International Money and Finance, Elsevier, vol. 22(4), pages 529-556, August.
- Paola Giuliano & Stephen Turnovsky, 2000. "Intertemporal Substitution, Risk Aversion, and Economic Performance in a Stochastically Growing Open Economy," Discussion Papers in Economics at the University of Washington 0002, Department of Economics at the University of Washington.
- Paola Giuliano & Stephen Turnovsky, 2002. "Intertemporal Substitution, Risk Aversion, and Economic Performance in a Stochastically Growing Open Economy," Working Papers UWEC-2002-20-P, University of Washington, Department of Economics.
- Stephen Turnovsky, University of Washington and Paola Giuliano, University of California-Berkeley, 2001. "IntertemporalSubstitution, Risk Aversion, and Economic Performance in a StocashticallyGrowing Open Economy," Computing in Economics and Finance 2001 277, Society for Computational Economics.
- Paola Giuliano & Stephen Turnovsky, 2000. "Intertemporal Substitution, Risk Aversion, and Economic Performance in a Stochastically Growing Open Economy," Working Papers 0002, University of Washington, Department of Economics.
- Elena Marquez de la Cruz & Ana Martinez-Canete & Ines Perez-Soba Aguilar, 2007. "Intertemporal preference parameters for some European monetary union countries," Applied Economics, Taylor & Francis Journals, vol. 39(8), pages 997-1011.
- Orazio P. Attanasio & Guglielmo Weber, 2010.
"Consumption and Saving: Models of Intertemporal Allocation and Their Implications for Public Policy,"
Journal of Economic Literature, American Economic Association, vol. 48(3), pages 693-751, September.
- Orazio P. Attanasio & Guglielmo Weber, 2010. "Consumption and Saving: Models of Intertemporal Allocation and Their Implications for Public Policy," NBER Working Papers 15756, National Bureau of Economic Research, Inc.
- Alexandros P. Bechlioulis & Sophocles N. Brissimis, 2021. "Are household consumption decisions affected by past due unsecured debt? Theory and evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 3040-3053, April.
- Fabio Araujo & Marcelo Fernandes e João Victor Issler, 2004. "Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor," Econometric Society 2004 Latin American Meetings 134, Econometric Society.
- Gomes, Fábio Augusto Reis & Ribeiro, Priscila Fernandes, 2015. "Estimating the elasticity of intertemporal substitution taking into account the precautionary savings motive," Journal of Macroeconomics, Elsevier, vol. 45(C), pages 108-123.
- repec:zbw:bofitp:2010_014 is not listed on IDEAS
- Martin Browning & Thomas F. Crossley, 2001.
"The Life-Cycle Model of Consumption and Saving,"
Journal of Economic Perspectives, American Economic Association, vol. 15(3), pages 3-22, Summer.
- Martin Browning & Thomas F. Crossley, 2000. "The Life Cycle Model of Consumption and Saving," Social and Economic Dimensions of an Aging Population Research Papers 28, McMaster University.
- Martin Browning & Thomas Crossley, 2001. "The life-cycle model of consumption and saving," IFS Working Papers W01/15, Institute for Fiscal Studies.
- Oliner, Stephen D. & Rudebusch, Glenn D. & Sichel, Daniel, 1996. "The Lucas critique revisited assessing the stability of empirical Euler equations for investment," Journal of Econometrics, Elsevier, vol. 70(1), pages 291-316, January.
- Farzana Naheed Khan & Eatzaz Ahmad, 2022. "Intertemporal substitution in import demand and the role of habit formation: an application of Euler equation approach for Pakistan," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 21(1), pages 95-124, January.
More about this item
Keywords
Discount Factor; Risk Aversion; Euler Equation; GMM;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2012-07-08 (Utility Models and Prospect Theory)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:39736. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.