"INTERTEMPORAL SUBSTITUTION AND RISK AVERSION: ESTIMATES ON RUSSIAN MICRO DATA"

9 сентября состоялся семинар НУГ, с докладом выступил А.Ларин.

Аннотация:

Within this study we firstly derive Euler equation in a recursive form then obtain estimates of the subjective discount factor, coefficient of relative risk aversion and intertemporal elasticity of substitution for Russian households. These parameters are estimated using generalized method of moments (GMM). We base estimation on households’ micro data from the Russian Longitudinal Monitoring Survey — Higher School of Economics (RLMS-HSE) for the period from 2000 to 2014. The analysis provides estimates that are consistent with the theoretical framework.

Our results allow concluding that the coefficient of relative risk aversion differs from the intertemporal elasticity of substitution. Moreover estimates for creditors and borrowers differ as well. We also show that accounting for liquidity constrained is necessary to obtain consistent estimates of the parameters.

 Euler under Ep-Zin (DOC, 38 Кб)