Risk aversion, intertemporal substitution, and the aggregate investment-uncertainty relationship

• 成果类型: Article
• 署名作者: Saltari, Enrico; Ticchi, Davide
• 署名单位: University of Urbino; Sapienza University Rome
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.01.002
• 发表日期: 2007
• 页码: 622-648
• 关键词: aggregate investment; aggregate savings; aggregate uncertainty; risk aversion; intertemporal substitution

摘要

We analyze the role of risk aversion and intertemporal substitution in a simple dynamic general equilibrium model of investment and savings. Our main finding is that risk aversion cannot by itself explain a negative relationship between aggregate investment and aggregate uncertainty, as the effect of increased uncertainty on investment also depends on the intertemporal elasticity of substitution. In particular, the relationship between aggregate investment and aggregate uncertainty is positive even if agents are very risk averse, as long as the elasticity of intertemporal substitution is low. A negative investment-uncertainty relationship requires that the relative risk aversion and the elasticity of intertemporal substitution are both relatively high or both relatively low. We also show that the implications of our model are consistent with the available empirical evidence. (c) 2006 Elsevier B.V. All rights reserved.