Intertemporal Consumption with Risk: A Revealed Preference Analysis

• 成果类型: Article
• 署名作者: Lanier, Joshua; Miao, Bin; Quah, John K. -H.; Zhong, Songfa
• 署名单位: Southwestern University of Finance & Economics - China; Renmin University of China; Johns Hopkins University; National University of Singapore
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_01220
• 发表日期: 2024-09
• 页码: 1319-1333
• 关键词: time-preferences; utility-theory; aversion; CHOICE; Consistency; BEHAVIOR

摘要

We run an experiment to elicit preferences over state-contingent timed payouts. We analyze the data using a new revealed preference method (building on Nishimura et al., 2017) that can test for consistency with utility functions that increase with a given preorder. We find that correlation neutrality, a property implied by discounted expected utility, is widely violated and there is, instead, strong evidence of intertemporal correlation averse behavior. Our results suggest that utility is not additive across both states and time and that credible models of choice need to allow people to prefer negative correlation in timed payouts.