Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation utility

• 成果类型: Article; Proceedings Paper
• 署名作者: Meyer, DJ; Meyer, J
• 署名单位: Michigan State University; Western Michigan University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2004.09.004
• 发表日期: 2005
• 页码: 1497-1515
• 关键词: relative risk aversion; habit formation; equity premium puzzle

摘要

The relationship between the relative risk aversion measure for the utility function for consumption and that for the value function for wealth is a derived relationship whose properties depend on how consumption and wealth are defined and measured. This fact together with information concerning estimates for these two relative risk aversion measures is used to give another perspective on the equity premium puzzle, and to explain why it is that the habit formation utility function is effective in eliminating that puzzle. A time separable utility function that can serve as an alternative to the assumption of habit formation is also presented. (c) 2005 Elsevier B.V. All rights reserved.