Risk and intertemporal substitution: Livestock portfolios and off-take among Kenyan pastoralists

• 成果类型: Article
• 署名作者: Lybbert, Travis J.; McPeak, John
• 署名单位: University of California System; University of California Davis; Syracuse University
• 刊物名称: JOURNAL OF DEVELOPMENT ECONOMICS
• ISSN/ISSBN: 0304-3878
• DOI: 10.1016/j.jdeveco.2011.06.004
• 发表日期: 2012
• 页码: 415-426
• 关键词: Elasticity of intertemporal substitution; risk aversion; recursive utility; Asset dynamics; poverty

摘要

Most decisions involve variability in two dimensions: uncertainty across states of nature and fluctuations over time. The stakes involved in tradeoffs between these variability dimensions are especially high for the poor who have difficulty managing and recovering from shocks. We assume Epstein and Zin recursive preferences and estimate risk aversion and intertemporal substitution as distinct preferences using data from Kenyan herders. Results suggest that the assumption implicit in additive expected utility models that relative risk aversion (RRA) is the inverse of the elasticity of intertemporal substitution (EIS) is flawed. Specifically, our RRA and EIS estimates are consistent with a preference for the early resolution of uncertainty, which we believe is driven importantly by the instrumental value of early uncertainty resolution. This same preference pattern is consistent with asset smoothing in response to a dynamic asset threshold. (C) 2011 Elsevier B.V. All rights reserved.