Stochastic impatience and the separation of time and risk preferences

• 成果类型: Article
• 署名作者: Dillenberger, David; Gottlieb, Daniel; Ortoleva, Pietro
• 署名单位: University of Pennsylvania; University of London; London School Economics & Political Science; University of Southern California; Princeton University
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE5771
• 发表日期: 2025
• 关键词: long-run; consumption; utility; uncertainty; ambiguity; aversion; substitution; RESOLUTION

摘要

We study how the separation of time and risk preferences relates to a property called stochastic impatience. We show that, within a broad class of models, stochastic impatience holds if and only if risk aversion and the inverse elasticity of intertemporal substitution are sufficiently close. In the models of Epstein and Zin (1989) and Hansen and Sargent (1995), stochastic impatience is violated for all commonly used parameters. Our result also provides a simple, one-question test for the separation of time and risk preferences.