Ahmed, Waqas and Haider, Adnan and Iqbal, Javed (2012): Estimation of discount factor (beta) and coefficient of relative risk aversion (gamma) in selected countries.

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Abstract
We estimate the longrun discount factor for a group of developed and developing countries through standard methodology incorporating adaptive expectations of inflation. We find that the discount factor of developing countries is relatively nearer to unity as compared to that of the developed countries. In the second part, while considering a standard Euler equation for household's intertemporal consumption, we estimate the parameter of constant relative risk aversion (CRRA) for Pakistan by using the Generalized Method of Moments (GMM) approach. The resulting parameter value of CRRA confirms to the empirical range for developing countries (as given in, Cardenas and Carpenter, 2008). The GMM estimator for the discount factor reinforces its result from the first part of the paper. Consequently we show that different combination values for both the parameters result in different (in terms of magnitude) impulse response functions, in response to tight monetary policy shocks in a simple New Keynesian macroeconomic model.
Item Type:  MPRA Paper 

Original Title:  Estimation of discount factor (beta) and coefficient of relative risk aversion (gamma) in selected countries 
Language:  English 
Keywords:  Discount Factor; Risk Aversion; Euler Equation; GMM 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C13  Estimation: General D  Microeconomics > D9  Intertemporal Choice and Growth > D91  Intertemporal Consumer Choice; Life Cycle Models and Saving E  Macroeconomics and Monetary Economics > E2  Macroeconomics: Consumption, Saving, Production, Employment, and Investment > E21  Consumption; Saving; Wealth 
Item ID:  39736 
Depositing User:  Adnan Haider Adnan 
Date Deposited:  29. Jun 2012 12:40 
Last Modified:  13. Feb 2013 04:15 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/39736 