Robust comparative statics for the elasticity of intertemporal substitution
研究了一类具有递归偏好的消费储蓄问题，用两个充分统计量（跨期替代弹性和财富边际价值的相对弹性）的乘积来刻画消费对任意冲击的响应符号，并应用于投资组合、收入风险下的消费储蓄和创业投资等经典问题。
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 (EIS) between contemporaneous consumption and continuation utility, and the relative elasticity of the marginal value of wealth (REMV). Under homotheticity, the REMV always equals 1, 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.