Intertemporal Consumption with Risk

Disentangling Risk Aversion and Intertemporal Substitution Through ...

We suggest that the requested disentangling may alternatively be obtained not by replacing, as the recursive utility does, the future consumption stream by a ...

Intertemporal Risk Aversion, Stationarity and Discounting - CiteSeerX

The second line of axiom A7s states that an intertemporal risk averse decision maker prefers the certain constant consumption path over the lottery that ...

Intertemporal risk sharing in the EMU : Disentangling the role of ...

This paper provides a comprehensive examination of the role of intertemporal risk sharing – or consumption smoothing – in absorbing the impact of asymmetric ...

Growth Rate of the Economy - CFA, FRM, and Actuarial Exams ...

Real interest rates are high when the expected consumption growth is high (intertemporal substitution) or when risk is low (precautionary saving) ...

International Consumption Risk Sharing - CREI

In particular, the optimal allocation depends on the share parameter (y), the intertemporal elasticity of substitution (1/o) and the joint processes for traded ...

Seminar on "Intertemporal Consumption with Risk - Lingnan University

Seminar on "Intertemporal Consumption with Risk: A Revealed Preference Analysis". 4:30 - 6:00 pm. Leung Chung Yeung Conference Room (WYL314), 3/F, Dorothy Y L ...

The Effect of Saving on Risk Attitudes and Intertemporal Choices

The accumulation of wealth through saving may facilitate consumption smoothing, which can lead households to be more willing to accept positive-expected-value ...

Interest rates in a model of intertemporal optimisation | RDP 8708

A special case of this condition occurs when consumers are risk neutral. In that case, the marginal utility of consumption is constant across time periods ...

Risk Aversion and Expected Utility of Consumption over Time - GUP

The results suggest implausible risk aversion parameters as well as unreasonable implications for long term risky choices. Thus, the conventional intertemporal ...

Heterogenous Intertemporal Elasticity of Substitution and Relative ...

Heterogenous Intertemporal Elasticity of Substitution and Relative Risk Aversion: Estimation of Optimal Consumption Choice with Habit Formation and Measurement ...

Decisions Under Risk, Uncertainty, and Intertemporal Choice

For example, a risk-averse expected utility agent who chooses to consume more conditional on state s1 than conditional on state s2 must either ...

Welfare Costs, Long Run Consumption Risk, and a Production ...

... consumption and asset prices properties with low risk aversion and an elasticity of intertemporal sub- stitution slightly bigger than one.4 Their results ...

Consumption Uncertainty and Precautionary Saving

Alongside income risk, people face a number of other uninsurable or partially uninsurable risks which can affect intertemporal consumption decisions. The ...

Elasticity of Intertemporal Substitution vs. Risk Aversion

of the consumer. Weil (1993) assumes the exponential risk utility function in Epstein-Zin (1989) preferences and so the determinants of precautionary savings ...

7.4 Intertemporal Choices in Financial Capital Markets

When making a choice along the intertemporal budget constraint, a household will choose the combination of present consumption, savings, and future consumption ...

Estimating Relative Risk Aversion, the Discount Rate, and the ...

Estimating Relative Risk Aversion, the Discount Rate, and the Intertemporal Elasticity of Substitution in Consumption for Brazil Using Three ...

6.4 Intertemporal Choices in Financial Capital Markets

If some of the numbers on the future consumption axis look bizarrely large, remember that this occurs because of the power of compound interest over substantial ...

Pricing Intertemporal Risk When Investment Opportunities Are ...

... intertemporal risk factor is positively priced. ... “Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A ...

intertemporal utility function usage : calculating consumption

There is no production, the consumer receives windfall endowments in each period, Y1,Y2, and he can borrow (or lend) during the first period at ...

Intertemporal Substitution in Consumption Revisited in - IMF eLibrary

Some of the highly controversial questions in macroeconomics critically hinges on the value of a single parameter of consumer preference--the ...