Estimating the Elasticity of Intertemporal Substitution Using Mortgage Notches
利用英国抵押贷款利率在贷款价值比阈值处的断点变化，提出一种估计跨期替代弹性的新方法，发现平均弹性约为0.1且人口中相当同质，对依赖较大弹性值的校准研究有启示。
Using a novel source of quasi-experimental variation in interest rates, we develop a new approach to estimating the Elasticity of Intertemporal Substitution (EIS). In the U.K., the mortgage interest rate features discrete jumps—notches—at thresholds for the loan-to-value (LTV) ratio. These notches generate large bunching below the critical LTV thresholds and missing mass above them. We develop a dynamic model that links these empirical moments to the underlying structural EIS. The average EIS is small, around 0.1, and quite homogeneous in the population. This finding is robust to structural assumptions and can allow for uncertainty, a wide range of risk preferences, portfolio reallocation, liquidity constraints, present bias, and optimization frictions. Our findings have implications for the numerous calibration studies that rely on larger values of the EIS.