Dladla, Pholile and Malikane, Christopher and Ojah, Kalu (2014): The Elasticity of Intertemporal Substitution Reconsidered.

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Abstract
The elasticity of intertemporal substitution (EIS) is a crucial parameter in finance and macroeconomics, yet its estimation remains elusive. We show, based on Fisher's relation and the expectations theory of the term structure, that the EIS is the inverse of the product of the average term to maturity of debt instruments and the consumptionoutput ratio. Therefore, the EIS need not be estimated but can be calibrated from observable data.
Item Type:  MPRA Paper 

Original Title:  The Elasticity of Intertemporal Substitution Reconsidered 
English Title:  The Elasticity of Intertemporal Substitution Reconsidered 
Language:  English 
Keywords:  Elasticity of intertemporal substitution, Fisher's relation, expectations theory of the term structure. 
Subjects:  E  Macroeconomics and Monetary Economics > E4  Money and Interest Rates > E43  Interest Rates: Determination, Term Structure, and Effects E  Macroeconomics and Monetary Economics > E4  Money and Interest Rates > E44  Financial Markets and the Macroeconomy 
Item ID:  55547 
Depositing User:  Kalu Ojah 
Date Deposited:  29 Apr 2014 14:00 
Last Modified:  29 Sep 2019 11:53 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/55547 