Comparative risk aversion: A formal approach with applications to saving behavior

• 成果类型: Article
• 署名作者: Bommier, Antoine; Chassagnon, Arnold; Le Grand, Francois
• 署名单位: Swiss Federal Institutes of Technology Domain; ETH Zurich; Paris School of Economics; Universite PSL; Universite Paris-Dauphine; emlyon business school
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2010.10.015
• 发表日期: 2012
• 页码: 1614-1641
• 关键词: Risk aversion; Saving behavior; precautionary savings

摘要

We consider a formal approach to comparative risk aversion and apply it to intertemporal choice models. This allows us to ask whether standard classes of utility functions, such as those inspired by Kihlstrom and Mirman (1974) [16], Selden (1978) [27], Epstein and Zin (1989) [10] and Quiggin (1982) [25] are well ordered in terms of risk aversion. Moreover, opting for this model-free approach allows us to establish new general results on the impact of risk aversion on savings behaviors. In particular, we show that risk aversion enhances precautionary savings, clarifying the link that exists between the notions of prudence and risk aversion. (c) 2010 Elsevier Inc. All rights reserved.