Risk Aversion and Precautionary Savings in Dynamic Settings

• 成果类型: Article
• 署名作者: Bommier, Antoine; Le Grand, Francois
• 署名单位: Swiss Federal Institutes of Technology Domain; ETH Zurich; emlyon business school; Swiss Federal Institutes of Technology Domain; ETH Zurich
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2017.2959
• 发表日期: 2019
• 页码: 1386-1397
• 关键词: Risk aversion; precautionary savings; recursive models; risk-sensitive preferences; MONOTONICITY

摘要

We study the saving behavior of infinitely long-lived agents who face income uncertainty and deterministic interest rates. Using monotone recursive preferences, we prove that risk aversion unambiguously increases savings. The result accounts for possibly binding borrowing constraints and holds for very general specification of income uncertainty, which can follow any kind of stochastically monotone process.