联合激发跨期替代弹性、风险和时间偏好

IF 2.8 3区 经济学 Q2 BUSINESS, FINANCE
Luciano de Castro, Antonio F. Galvao, Gabriel Montes-Rojas, Jose Olmo
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引用次数: 0

摘要

在动态模型中引出跨期替代弹性(EIS)、贴现因子和风险态度参数对经济学、金融学和公共政策至关重要。本文提出了一种替代方法,利用实验数据共同引出并估算这三个参数。我们采用了一个基于动态量值偏好的新模型,在该模型中,个人在 τ∈0 , 1 时最大化未来 τ 量值效用流。这些偏好是简单的、动态一致的和单调的。在量值模型中,风险态度由报酬分布的量值 τ 反映,而 EIS 和贴现因子与描述个人跨时空行为的效用函数相关,因此风险、EIS 和贴现因子之间是完全可分离的。相关参数的估计采用结构最大似然法。个人的风险规避估计值低于中位数。贴现因子略小于文献中的估计值,EIS 略大于 1,这表明效用随时间呈凹形。弹性系数的估计值与使用观察分类数据的现有研究报告的估计值不同,后者一般发现弹性系数小于 1。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Joint elicitation of elasticity of intertemporal substitution, risk and time preferences

Joint elicitation of elasticity of intertemporal substitution, risk and time preferences

The elicitation of the elasticity of intertemporal substitution (EIS), discount factor and risk attitude parameters in dynamic models is of central importance to economics, finance and public policy. This paper suggests an alternative method to jointly elicit and estimate these three parameters using experimental data. We employ a new model based on dynamic quantile preferences, where individuals maximize the stream of future τ -quantile utilities, for τ 0 , 1 . These preferences are simple, dynamically consistent and monotonic. In the quantile model, the risk attitude is captured by the quantile τ of the payoff distribution, while the EIS and the discount factor are related to the utility function describing individual's intertemporal behaviour, hence allowing for complete separability between risk, EIS and discount factor. The estimation of the parameters of interest uses a structural maximum likelihood method. Individual's risk aversion is estimated below the median. The discount factor is marginally smaller than estimates reported in the literature, and the EIS is slightly larger than one, which suggests that utility over time is concave. The estimates for the elasticity contrast with those reported by the existing studies using observational disaggregated data, which in general find an elasticity smaller than one.

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来源期刊
CiteScore
5.70
自引率
6.90%
发文量
143
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