 |
 |
 |
|
|
|
| HAL : hal-00680647, version 1 |
| DOI : 10.1016/j.jedc.2012.03.018 |
| Fiche détaillée |  Récupérer au format |
 |
| Journal of Economic Dynamics and Control 36, 11 (2012) 1659-1672 |
|
|
|
|
| Changes in the Output Euler Equation and Asset Markets Participation |
|
|
| Florin Bilbiie 1, 2Roland Straub 3 |
|
|
| (09/08/2012) |
|
|
|
| Recent estimates of the output Euler equation for the United States indicate that the elasticity of aggregate demand to interest rates is not significantly different from zero. We first argue that this result may hide a structural break: the estimated elasticity is a convolution of two coefficients with opposite signs across the samples 1965-1979 and 1982-2003. The sign of the coefficient in the earlier sample is inconsistent with standard economic theory and intuition. We outline a model with limited asset markets participation that can generate this change in sign when asset market participation changes from low to high, and provide institutional evidence for such a change in the United States in the late 70s and early 80s. |
|
|
|
|
|
|
|
|
|
|
|
| 1 : | Centre d'économie de la Sorbonne (CES) |
|
|
|
CNRS : UMR8174 – Université Paris I - Panthéon-Sorbonne |
|
|
| 2 : | Ecole d'Économie de Paris - Paris School of Economics (EEP-PSE) |
|
|
|
Ecole d'Économie de Paris |
|
|
| 3 : | Research Department |
|
|
|
European Central Bank |
|
|
|
|
|
|
|
|
|
| Axe Macroéconomie |
|
|
|
|
| Domaine | : | Sciences de l'Homme et Société/Economie et finances |
|
|
| IS curve – Euler equation for output – limited asset markets participation – aggregate demand – rule-of-thumb consumers |
|
|
|
| Liste des fichiers attachés à ce document : | |||||
|
|||||
|
|
|
| hal-00680647, version 1 | |
| http://hal-paris1.archives-ouvertes.fr/hal-00680647 | |
| oai:hal-paris1.archives-ouvertes.fr:hal-00680647 | |
| Contributeur : Florin Bilbiie | |
| Soumis le : Mardi 27 Mars 2012, 18:24:23 | |
| Dernière modification le : Lundi 3 Décembre 2012, 16:18:41 | |
