An estimation of economic models with recursive preferences

This paper presents estimates of key preference parameters of the Epstein and Zin (1989 , 1991) and Weil (1989) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such esti...
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Autor*in:	Chen, Xiaohong [verfasserIn] Favilukis, Jack [verfasserIn] Ludvigson, Sydney C. - 1964- [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	March 2013

Übergeordnetes Werk:	Enthalten in: Quantitative economics - Oxford [u.a.] : Wiley, 2010, 4(2013), 1 vom: März, Seite 39-83
Übergeordnetes Werk:	volume:4 ; year:2013 ; number:1 ; month:03 ; pages:39-83

Links:	Volltext Volltext Volltext Terms of use

DOI / URN:	10.3982/QE97

Katalog-ID:	1007219211

Internformat


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allfields	10.3982/QE97 doi 10419/150343 hdl (DE-627)1007219211 (DE-599)GBV1007219211 DE-627 ger DE-627 rda eng G12 E21 jelc Chen, Xiaohong verfasserin (DE-588)1029935998 (DE-627)734521715 (DE-576)377769851 aut An estimation of economic models with recursive preferences Xiaohong Chen, Jack Favilukis, Sydney C. Ludvigson March 2013 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This paper presents estimates of key preference parameters of the Epstein and Zin (1989 , 1991) and Weil (1989) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return. Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17 to 60, with higher values for aggregate consumption than for stockholder consumption, while the estimated elasticity of intertemporal substitution is above 1. In addition, the estimated model-implied aggregate wealth return is found to be weakly correlated with the Center for Research in Security Prices value-weighted stock market return, suggesting that the return to human wealth is negatively correlated with the aggregate stock market return. Favilukis, Jack verfasserin aut Ludvigson, Sydney C. 1964- verfasserin (DE-588)124925510 (DE-627)368363384 (DE-576)294571566 aut Enthalten in Quantitative economics Oxford [u.a.] : Wiley, 2010 4(2013), 1 vom: März, Seite 39-83 Online-Ressource (DE-627)633816477 (DE-600)2569569-1 (DE-576)32818862X 1759-7331 nnns volume:4 year:2013 number:1 month:03 pages:39-83 http://hdl.handle.net/10419/150343 Resolving-System kostenfrei Volltext https://doi.org/10.3982/QE97 Resolving-System kostenfrei Volltext http://onlinelibrary.wiley.com/doi/10.3982/QE97/epdf Verlag kostenfrei Volltext https://creativecommons.org/licenses/by-nc/3.0/ Verlag Terms of use 46 GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_90 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_171 GBV_ILN_184 GBV_ILN_206 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2106 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2232 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 4 2013 1 3 39-83 26 01 0206 172680867X x1k 05-12-17 26 00 DE-206 56 Consumption based asset pricing 26 00 DE-206 56 semiparametric estimation 26 00 DE-206 56 limited stock market participation
spelling	10.3982/QE97 doi 10419/150343 hdl (DE-627)1007219211 (DE-599)GBV1007219211 DE-627 ger DE-627 rda eng G12 E21 jelc Chen, Xiaohong verfasserin (DE-588)1029935998 (DE-627)734521715 (DE-576)377769851 aut An estimation of economic models with recursive preferences Xiaohong Chen, Jack Favilukis, Sydney C. Ludvigson March 2013 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This paper presents estimates of key preference parameters of the Epstein and Zin (1989 , 1991) and Weil (1989) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return. Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17 to 60, with higher values for aggregate consumption than for stockholder consumption, while the estimated elasticity of intertemporal substitution is above 1. In addition, the estimated model-implied aggregate wealth return is found to be weakly correlated with the Center for Research in Security Prices value-weighted stock market return, suggesting that the return to human wealth is negatively correlated with the aggregate stock market return. Favilukis, Jack verfasserin aut Ludvigson, Sydney C. 1964- verfasserin (DE-588)124925510 (DE-627)368363384 (DE-576)294571566 aut Enthalten in Quantitative economics Oxford [u.a.] : Wiley, 2010 4(2013), 1 vom: März, Seite 39-83 Online-Ressource (DE-627)633816477 (DE-600)2569569-1 (DE-576)32818862X 1759-7331 nnns volume:4 year:2013 number:1 month:03 pages:39-83 http://hdl.handle.net/10419/150343 Resolving-System kostenfrei Volltext https://doi.org/10.3982/QE97 Resolving-System kostenfrei Volltext http://onlinelibrary.wiley.com/doi/10.3982/QE97/epdf Verlag kostenfrei Volltext https://creativecommons.org/licenses/by-nc/3.0/ Verlag Terms of use 46 GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_90 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_171 GBV_ILN_184 GBV_ILN_206 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2106 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2232 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 4 2013 1 3 39-83 26 01 0206 172680867X x1k 05-12-17 26 00 DE-206 56 Consumption based asset pricing 26 00 DE-206 56 semiparametric estimation 26 00 DE-206 56 limited stock market participation
allfields_unstemmed	10.3982/QE97 doi 10419/150343 hdl (DE-627)1007219211 (DE-599)GBV1007219211 DE-627 ger DE-627 rda eng G12 E21 jelc Chen, Xiaohong verfasserin (DE-588)1029935998 (DE-627)734521715 (DE-576)377769851 aut An estimation of economic models with recursive preferences Xiaohong Chen, Jack Favilukis, Sydney C. Ludvigson March 2013 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This paper presents estimates of key preference parameters of the Epstein and Zin (1989 , 1991) and Weil (1989) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return. Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17 to 60, with higher values for aggregate consumption than for stockholder consumption, while the estimated elasticity of intertemporal substitution is above 1. In addition, the estimated model-implied aggregate wealth return is found to be weakly correlated with the Center for Research in Security Prices value-weighted stock market return, suggesting that the return to human wealth is negatively correlated with the aggregate stock market return. Favilukis, Jack verfasserin aut Ludvigson, Sydney C. 1964- verfasserin (DE-588)124925510 (DE-627)368363384 (DE-576)294571566 aut Enthalten in Quantitative economics Oxford [u.a.] : Wiley, 2010 4(2013), 1 vom: März, Seite 39-83 Online-Ressource (DE-627)633816477 (DE-600)2569569-1 (DE-576)32818862X 1759-7331 nnns volume:4 year:2013 number:1 month:03 pages:39-83 http://hdl.handle.net/10419/150343 Resolving-System kostenfrei Volltext https://doi.org/10.3982/QE97 Resolving-System kostenfrei Volltext http://onlinelibrary.wiley.com/doi/10.3982/QE97/epdf Verlag kostenfrei Volltext https://creativecommons.org/licenses/by-nc/3.0/ Verlag Terms of use 46 GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_90 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_171 GBV_ILN_184 GBV_ILN_206 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2106 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2232 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 4 2013 1 3 39-83 26 01 0206 172680867X x1k 05-12-17 26 00 DE-206 56 Consumption based asset pricing 26 00 DE-206 56 semiparametric estimation 26 00 DE-206 56 limited stock market participation
allfieldsGer	10.3982/QE97 doi 10419/150343 hdl (DE-627)1007219211 (DE-599)GBV1007219211 DE-627 ger DE-627 rda eng G12 E21 jelc Chen, Xiaohong verfasserin (DE-588)1029935998 (DE-627)734521715 (DE-576)377769851 aut An estimation of economic models with recursive preferences Xiaohong Chen, Jack Favilukis, Sydney C. Ludvigson March 2013 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This paper presents estimates of key preference parameters of the Epstein and Zin (1989 , 1991) and Weil (1989) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return. Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17 to 60, with higher values for aggregate consumption than for stockholder consumption, while the estimated elasticity of intertemporal substitution is above 1. In addition, the estimated model-implied aggregate wealth return is found to be weakly correlated with the Center for Research in Security Prices value-weighted stock market return, suggesting that the return to human wealth is negatively correlated with the aggregate stock market return. Favilukis, Jack verfasserin aut Ludvigson, Sydney C. 1964- verfasserin (DE-588)124925510 (DE-627)368363384 (DE-576)294571566 aut Enthalten in Quantitative economics Oxford [u.a.] : Wiley, 2010 4(2013), 1 vom: März, Seite 39-83 Online-Ressource (DE-627)633816477 (DE-600)2569569-1 (DE-576)32818862X 1759-7331 nnns volume:4 year:2013 number:1 month:03 pages:39-83 http://hdl.handle.net/10419/150343 Resolving-System kostenfrei Volltext https://doi.org/10.3982/QE97 Resolving-System kostenfrei Volltext http://onlinelibrary.wiley.com/doi/10.3982/QE97/epdf Verlag kostenfrei Volltext https://creativecommons.org/licenses/by-nc/3.0/ Verlag Terms of use 46 GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_90 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_171 GBV_ILN_184 GBV_ILN_206 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2106 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2232 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 4 2013 1 3 39-83 26 01 0206 172680867X x1k 05-12-17 26 00 DE-206 56 Consumption based asset pricing 26 00 DE-206 56 semiparametric estimation 26 00 DE-206 56 limited stock market participation
allfieldsSound	10.3982/QE97 doi 10419/150343 hdl (DE-627)1007219211 (DE-599)GBV1007219211 DE-627 ger DE-627 rda eng G12 E21 jelc Chen, Xiaohong verfasserin (DE-588)1029935998 (DE-627)734521715 (DE-576)377769851 aut An estimation of economic models with recursive preferences Xiaohong Chen, Jack Favilukis, Sydney C. Ludvigson March 2013 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier This paper presents estimates of key preference parameters of the Epstein and Zin (1989 , 1991) and Weil (1989) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return. Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17 to 60, with higher values for aggregate consumption than for stockholder consumption, while the estimated elasticity of intertemporal substitution is above 1. In addition, the estimated model-implied aggregate wealth return is found to be weakly correlated with the Center for Research in Security Prices value-weighted stock market return, suggesting that the return to human wealth is negatively correlated with the aggregate stock market return. Favilukis, Jack verfasserin aut Ludvigson, Sydney C. 1964- verfasserin (DE-588)124925510 (DE-627)368363384 (DE-576)294571566 aut Enthalten in Quantitative economics Oxford [u.a.] : Wiley, 2010 4(2013), 1 vom: März, Seite 39-83 Online-Ressource (DE-627)633816477 (DE-600)2569569-1 (DE-576)32818862X 1759-7331 nnns volume:4 year:2013 number:1 month:03 pages:39-83 http://hdl.handle.net/10419/150343 Resolving-System kostenfrei Volltext https://doi.org/10.3982/QE97 Resolving-System kostenfrei Volltext http://onlinelibrary.wiley.com/doi/10.3982/QE97/epdf Verlag kostenfrei Volltext https://creativecommons.org/licenses/by-nc/3.0/ Verlag Terms of use 46 GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_90 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_171 GBV_ILN_184 GBV_ILN_206 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2106 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2232 GBV_ILN_2470 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 4 2013 1 3 39-83 26 01 0206 172680867X x1k 05-12-17 26 00 DE-206 56 Consumption based asset pricing 26 00 DE-206 56 semiparametric estimation 26 00 DE-206 56 limited stock market participation
language	English
source	Enthalten in Quantitative economics 4(2013), 1 vom: März, Seite 39-83 volume:4 year:2013 number:1 month:03 pages:39-83
sourceStr	Enthalten in Quantitative economics 4(2013), 1 vom: März, Seite 39-83 volume:4 year:2013 number:1 month:03 pages:39-83
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container_title	Quantitative economics
authorswithroles_txt_mv	Chen, Xiaohong @@aut@@ Favilukis, Jack @@aut@@ Ludvigson, Sydney C. @@aut@@
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author	Chen, Xiaohong
spellingShingle	Chen, Xiaohong jelc G12 26 Consumption based asset pricing 26 semiparametric estimation 26 limited stock market participation An estimation of economic models with recursive preferences
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topic_title	G12 E21 jelc 26 00 DE-206 56 Consumption based asset pricing 26 00 DE-206 56 semiparametric estimation 26 00 DE-206 56 limited stock market participation An estimation of economic models with recursive preferences Xiaohong Chen, Jack Favilukis, Sydney C. Ludvigson
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title_full	An estimation of economic models with recursive preferences Xiaohong Chen, Jack Favilukis, Sydney C. Ludvigson
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title_sort	estimation of economic models with recursive preferences
title_auth	An estimation of economic models with recursive preferences
abstract	This paper presents estimates of key preference parameters of the Epstein and Zin (1989 , 1991) and Weil (1989) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return. Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17 to 60, with higher values for aggregate consumption than for stockholder consumption, while the estimated elasticity of intertemporal substitution is above 1. In addition, the estimated model-implied aggregate wealth return is found to be weakly correlated with the Center for Research in Security Prices value-weighted stock market return, suggesting that the return to human wealth is negatively correlated with the aggregate stock market return.
abstractGer	This paper presents estimates of key preference parameters of the Epstein and Zin (1989 , 1991) and Weil (1989) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return. Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17 to 60, with higher values for aggregate consumption than for stockholder consumption, while the estimated elasticity of intertemporal substitution is above 1. In addition, the estimated model-implied aggregate wealth return is found to be weakly correlated with the Center for Research in Security Prices value-weighted stock market return, suggesting that the return to human wealth is negatively correlated with the aggregate stock market return.
abstract_unstemmed	This paper presents estimates of key preference parameters of the Epstein and Zin (1989 , 1991) and Weil (1989) recursive utility model, evaluates the model’s ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the unobservable aggregate wealth return. Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17 to 60, with higher values for aggregate consumption than for stockholder consumption, while the estimated elasticity of intertemporal substitution is above 1. In addition, the estimated model-implied aggregate wealth return is found to be weakly correlated with the Center for Research in Security Prices value-weighted stock market return, suggesting that the return to human wealth is negatively correlated with the aggregate stock market return.
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title_short	An estimation of economic models with recursive preferences
url	http://hdl.handle.net/10419/150343 https://doi.org/10.3982/QE97 http://onlinelibrary.wiley.com/doi/10.3982/QE97/epdf https://creativecommons.org/licenses/by-nc/3.0/
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Our empirical results indicate that the estimated relative risk aversion parameter ranges from 17 to 60, with higher values for aggregate consumption than for stockholder consumption, while the estimated elasticity of intertemporal substitution is above 1. In addition, the estimated model-implied aggregate wealth return is found to be weakly correlated with the Center for Research in Security Prices value-weighted stock market return, suggesting that the return to human wealth is negatively correlated with the aggregate stock market return.</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Favilukis, Jack</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Ludvigson, Sydney C.</subfield><subfield code="d">1964-</subfield><subfield code="e">verfasserin</subfield><subfield code="0">(DE-588)124925510</subfield><subfield code="0">(DE-627)368363384</subfield><subfield code="0">(DE-576)294571566</subfield><subfield code="4">aut</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">Quantitative economics</subfield><subfield code="d">Oxford [u.a.] : 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An estimation of economic models with recursive preferences

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