Optimal Consumption With Intertemporal Substitution I

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Optimal Consumption With Intertemporal Substitution I

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Author : Ayman Hindy
language : en
Publisher: Forgotten Books
Release Date : 2018-02-10

Optimal Consumption With Intertemporal Substitution I written by Ayman Hindy and has been published by Forgotten Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-02-10 with Business & Economics categories.

Excerpt from Optimal Consumption With Intertemporal Substitution I: The Case of Certainty These non-time-additive utility functions offer intuitively appealing notions of interactions between past and current consumption. They are also mathematically tractable. Optimal con sumption policies can be characterized using dynamic programming. For particular functional forms of the felicity function, one can even have closed form expressions for these policies. Unfortunately, these utility functions fail to exhibit one key economic property that underlies much of our intuition about the behavior of asset prices over time in the absence of arbitrage possibilities. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.

Optimal Consumption With Intertemporal Substitution I

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Author : Ayman Hindy
language : en
Publisher: Palala Press
Release Date : 2015-09-09

Optimal Consumption With Intertemporal Substitution I written by Ayman Hindy and has been published by Palala Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-09-09 with categories.

This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Optimal Consumption Choice Under Uncertainty With Intertemporal Substitution

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Author : Peter Bank
language : de
Publisher:
Release Date : 2005

Optimal Consumption Choice Under Uncertainty With Intertemporal Substitution written by Peter Bank and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

Optimal Consumption With Intertemporal Substitution Under Knightian Uncertainty

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Author : Giorgio Ferrari
language : en
Publisher:
Release Date : 2020

Optimal Consumption With Intertemporal Substitution Under Knightian Uncertainty written by Giorgio Ferrari and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.

Intertemporal Substitution In Macroeconomics

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Author : N. Gregory Mankiw
language : en
Publisher:
Release Date : 1982

Intertemporal Substitution In Macroeconomics written by N. Gregory Mankiw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Consumption (Economics) categories.

Modern neoclassical theories of the business cycle posit that aggregate fluctuations in consumption and employment are the consequence of dynamic optimizing behavior by economic agents who face no quantity constraint. In this paper, we estimate an explicit model :f this type. In particular, we assume that the observed fluctuations correspond to the decisions of an optimizing representative individual. This individual has a stable utility function which is additively separable over time but not necessarily additively separable in consumption and leisure. We estimate three first order conditions which represent three margins on which the individual is optimizing. He can trade off present consumption for future consumption, present leisure for future leisure and present consumption for present leisure. Our results show that the aggregate U.S. data are extremely reluctant to be characterized by a model of this type. Not only are the overidentifying restrictions statistically rejected but, in addition, the estimated utility function is often not concave. Even when it is concave the estimates imply that either consumption or leisure is an inferior good.

Intertemporal Substitution In Macroeconomics Classic Reprint

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Author : N. Gregory Mankiw
language : en
Publisher:
Release Date : 2015-08-05

Intertemporal Substitution In Macroeconomics Classic Reprint written by N. Gregory Mankiw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-08-05 with Business & Economics categories.

Excerpt from Intertemporal Substitution in Macroeconomics Modern neoclassical theories of the business cycle posit that aggregate fluctuations in consumption and employment are the consequence of dynamic optimizing behavior by economic agents who face no quantity constraint. In this paper, we estimate an explicit model of this type. In particular, we assume that the observed fluctuations correspond to the decisions of an optimizing representative individual. This individual has a stable utility function which is additively separable over time but not necessarily additively separable in consumption and leisure. We estimate three first order conditions which represent three margins on which the individual is optimizing. He can trade off present consumption for future consumption, present leisure for future leisure and present consumption for present leisure. Our results show that the aggregate U.S. data are extremely reluctant to be characterized by a model of this type. Not only are the overidentifying restrictions statistically rejected but, In addition, the estimated utility function is often not concave. Even when it is concave the estimates imply that either consumption or leisure is an inferior good. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.

Intertemporal Substitution In Macroeconomics

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Author : Lawrence H. Summers
language : en
Publisher:
Release Date : 1986

Intertemporal Substitution In Macroeconomics written by Lawrence H. Summers and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with categories.

Modern neoclassical theories of the business cycle posit that aggregate fluctuations in consumption and employment are the consequence of dynamic optimizing behavior by economic agents who face no quantity constraint. In this paper, we estimate an explicit model :f this type. In particular, we assume that the observed fluctuations correspond to the decisions of an optimizing representative individual. This individual has a stable utility function which is additively separable over time but not necessarily additively separable in consumption and leisure. We estimate three first order conditions which represent three margins on which the individual is optimizing. He can trade off present consumption for future consumption, present leisure for future leisure and present consumption for present leisure. Our results show that the aggregate U.S. data are extremely reluctant to be characterized by a model of this type. Not only are the overidentifying restrictions statistically rejected but, in addition, the estimated utility function is often not concave. Even when it is concave the estimates imply that either consumption or leisure is an inferior good

Intertemporal Substitution In Consumption Revisited

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Author : Zuliu Hu
language : en
Publisher:
Release Date : 2006

Intertemporal Substitution In Consumption Revisited written by Zuliu Hu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.

Some of the highly controversial questions in macroeconomics critically hinge on the value of a single parameter of consumer preference--the elasticity of intertemporal substitution. This paper provides new estimates of this parameter for individual G-7 and a panel of twenty OECD countries. We find that single equation GMM estimates are typically small and imprecise, consistent with Hall's (1988) finding from the U.S. data. Estimation of a system of equations that takes into account the cross-equation restrictions implied by theory, however, generally gives larger and better determined values for the parameter. The panel procedure also yields relatively large estimates. Overall our multi-country results contradict the hypothesis of zero intertemporal substitution.

Risk Aversion And Intertemporal Substitution In The Capital Asset Pricing Model

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Author : Philippe Weil
language : en
Publisher:
Release Date : 2010

Risk Aversion And Intertemporal Substitution In The Capital Asset Pricing Model written by Philippe Weil and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.

When tastes are represented by a class of generalized preferences which -- unlike traditional Von-Neumann preferences -- do not confuse behavior towards risk with attitudes towards intertemporal substitution, the true beta of an asset is, in general, an average of its consumption and market betas. We show that the two parameters measuring risk aversion and intertemporal substitution affect consumption and portfolio allocation decisions in symmetrical ways. A unit elasticity of intertemporal substitution gives rise to myopia in consumption-savings decisions (the future does not affect the optimal consumption plan), while a unit coefficient of relative risk aversion gives rise to myopia in portfolio allocation (the future does not affect optimal portfolio allocation). The empirical evidence is consistent with the behavior of intertemporal maximizers who have a unit coefficient of relative risk aversion and an elasticity of intertemporal substitution different from 1.

Risk Aversion And Intertemporal Substitution In The Capital Asset Pricing Model

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Author : Alberto Giovannini
language : en
Publisher:
Release Date : 1989

Risk Aversion And Intertemporal Substitution In The Capital Asset Pricing Model written by Alberto Giovannini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Capital assets pricing model categories.

When tastes are represented by a class of generalized preferences which -- unlike traditional Von-Neumann preferences -- do not confuse behavior towards risk with attitudes towards intertemporal substitution, the true beta of an asset is, in general, an average of its consumption and market betas. We show that the two parameters measuring risk aversion and intertemporal substitution affect consumption and portfolio allocation decisions in symmetrical ways. A unit elasticity of intertemporal substitution gives rise to myopia in consumption-savings decisions (the future does not affect the optimal consumption plan), while a unit coefficient of relative risk aversion gives rise to myopia in portfolio allocation (the future does not affect optimal portfolio allocation). The empirical evidence is consistent with the behavior of intertemporal maximizers who have a unit coefficient of relative risk aversion and an elasticity of intertemporal substitution different from 1