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7;
Empirical Estimates of the Intertemporal Elasticity of Substitution of Consumption
Developing Countries
Direct Estimates of the Euler Equation
AUTHORS
Asseery (1997)
COUNTRY
DATA SET
SAMPLE PERIOD
ESTIMATION
UTILITY
CONS
Cyprus
IMF
1963-1988
GMM
CRRA
Private
Egypt
Greece
Indonesia
Israel
Jordan
Kuwait
Malaysia
Malta
Morocco
Nigeria
Oman
Pakistan
Saudi Arabia
Syria
Tunisia
Turkey
Venezuala
UAE
Ogaki, Ostry & Reinhart
(1996)
Uganda
Burkina Faso
India
Togo
Kenya
Sudan
1967-1988
1963-1988
1968-1983/92
-.71 (.045)
GMM
Stone-Geary
Traded and non
traded
.047 (.014)
Ten poorest
countries
.543 (.167)
.545 (.167)
.581 (.179)
.593 (.183)
.575 (.177)
Argentina
Brazil
Portugal
IES allowed to
vary with wealth
.247 (.076)
.336 (.104)
.373 (.114)
.433 (.133)
.450 (.139)
.192 (.059)
Philippines
Morocco
Peru
Chile
COMMENTS
Allow for liquidity
constraints
.041 (.057)
-039 (.061)
-.056 (.191)
-.137 (.124)
.048 (.121)
-.083 (.188)
-.024 (.043)
-.062 (.047)
.003 (.049)
.141 (.111)
-.322 (.233)
-.090 (.132)
.207 (.246)
-.022 (.090)
-.092 (.082)
-.023 (.085)
-1.31 (.117)
-.086 (.049)
1967-1988
1963-1988
IMF, IBRD
IES (SE)
.598
.599
.601
All lower midincome
Empirical Estimates of the Intertemporal Elasticity of Substitution of Consumption
Developing Countries
AUTHORS
Ogaki, Ostry & Reinhart
(1996)1 continued
COUNTRY
DATA SET
SAMPLE PERIOD
ESTIMATION
UTILITY
CONS
IES (SE)
Malaysia
.605
Venezuela
.616
.605
Speight & White (1995)
Cyprus
IMF1
1950-1988
GMM
CRRA
Private + public
Ecuador
Greece
Guatemala
Honduras
Mexico
Nigeria
Sri Lanka
Turkey
Venezuela
Ostry & Reinhart (1991)
Africa2
Asia
Latin America
1
.113
COMMENTS
All upper-middle
income
Allow for liquidity
constraints
.441
-.041
.109
.017
.216
-.382
-3.855
-.543
.045
IMF, IBRD3
1968-1983/7, annual
GMM
CES
Traded and
non-traded
.443 (.178)
.803 (.235)
.430 (.135)
International Financial Statistics.
Continental averages are calculated from the following countries: Africa = (Egypt, Ghana, Côte d’Ivoire, Morocco), Asia = (Sri Lanka, India, Korea, Pakistan, Philippines), Latin America = (Brazil,
Columbia, Costa Rica, Mexico).
3
International Financial Statistics, World Economic Outlook, World Tables 1988-89 Edition.
2
Empirical Estimates of the Intertemporal Elasticity of Substitution of Consumption
Developing Countries
Indirect Estimates
AUTHORS
4
Atkeson & Ogaki (1996)
COUNTRY
DATA SET
SAMPLE PERIOD
ESTIMATION
UTILITY
India
ICRISAT
1976-1981
GMM
Addilog
CONS
ICRISAT
definitions
IES (SE)
.50
.80
Edwards (1996)
Giovannini (1985)
Giovannini (1983)
4
LDCs5
IMF
1970-1992
IV
Argentina
Brazil
Columbia
Jamaica
Mexico
Burma
India
Indonesia
South Korea
Malaysia
Philippines
Taiwan
Thailand
Kenya
IMF
1960-1977, monthly
1967-1979, annual
1965-1979, annual
1955-1979, annual
1965-1979, annual
1961-1979, annual
1961-1979, annual
1961-1979, annual
1961-1980, quarterly
1961-1980, annual
1961-1980, annual
1964-1980, annual
1961-1980, annual
1965-1979, annual
IV
6
LDCs
Footnote 5
IV
General
Total household
.194 (.162)
.003 (.135)
.213 (.453)
.574 (.176)
.080 (.118)
.485 (.249)
.700 (.300)
.029 (.033)
.141 (.259)
.203 (.362)
.200 (.299)
.005 (.081)
.115 (.082)
.194 (.268)
COMMENTS
Poorest 6
households
Richest 6
households
+ve but
insignificant
interest effect on
savings
These are all
estimates of the
responsiveness of
aggregate savings
to the real rate of
interest
-ve but
insignificant
interest effect on
savings
Here the IES was allowed to vary with wealth.
LDCs = (Bolivia, Brazil, Chile, Columbia, El Salvador, Mexico, Paraguay, Venezuela, Iran Sri Lanka, Malaysia, Pakistan, Philippines, Singapore, Thailand, Cameroon, Ghana, Kenya, Mauritius,
Nigeria, Sierra Leone, Togo, Tunisia).
6
LDCs = (Burma (1964-1979), India (1964-1979), Korea (1962-1980), Malaysia (1970-1980), Philippines (1965-1980), Singapore (1968-1979), Taiwan (1979-1980)).
5