跨期替代弹性的稳健比较静态分析
Robust Comparative Statics for the Elasticity of Intertemporal Substitution
AI总结：
本文研究具有递归偏好的消费-储蓄问题，利用EIS与REMV两个充分统计量的乘积刻画消费对冲击的响应符号，并应用于投资组合等经典问题以提出实证识别策略。
摘要：
我们研究了一类具有递归偏好的消费-储蓄问题。我们用两个充分统计量的乘积来刻画消费对任意冲击的响应符号：当期消费与延续效用之间的跨期替代弹性（EIS），以及财富边际价值的相对弹性（REMV）。在同位性条件下，REMV始终等于1，因此代理人储蓄或负储蓄的倾向始终由EIS与1的关系来决定符号。我们应用这些结果推导了投资组合配置、带有收入风险的消费-储蓄以及创业投资等经典问题中的比较静态分析。我们的结果为EIS的值及其与1的关系提出了实证识别策略。
英文摘要：
We study a general class of consumption-savings problems with recursive preferences. We characterize the sign of the consumption response to arbitrary shocks in terms of the product of two sufficient statistics: the elasticity of intertemporal substitution between contemporaneous consumption and continuation utility (EIS), and the relative elasticity of the marginal value of wealth (REMV). Under homotheticity, the REMV always equals one, so the propensity of the agent to save or dis-save is always signed by the relationship of the EIS with unity. We apply our results to derive comparative statics in classical problems of portfolio allocation, consumption-savings with income risk, and entrepreneurial investment. Our results suggest empirical identification strategies for both the value of the EIS and its relationship with unity.
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