Survey measures of risk aversion and prudence

Eisenhauer, Joseph G.; Ventura, Luigi

doi:10.1080/0003684032000151287

Cited by 73 publications

(40 citation statements)

References 16 publications

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“…Relative to the values reported in the surveybased literature, our bounds on the IES are considerably more narrow. Indeed, Barsky, Kimball, Juster, and Shapiro (1997) report a lower bound of 0.007, compared to ours of 0.062 for the unconditional mean of the IES estimated under the baseline specification with non-parametric Similarly, the estimated bounds for the RRA reported in Table 2 are reported in survey-based studies (e.g., Barsky, Kimball, Juster, and Shapiro 1997;Eisenhauer and Ventura 2003;Guiso and Paiella 2006), and between 1 and 15 for the empirical consumption study of Alan and Browning (2010), which for the greatest part accommodate the bounds we…”

Section: Intertemporal Elasticity Of Substitution and Relative Risk Amentioning

confidence: 93%

Micro-Level Estimation of Optimal Consumption Choice With Intertemporal Nonseparability in Preferences and Measurement Errors

Gayle

Khorunzhina

2017

Journal of Business & Economic Statistics

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This paper investigates the presence of habit formation in household consumption, using data from the Panel Study of Income Dynamics. We develop an econometric model of internal habit formation of the multiplicative specification. The restrictions of the model allow for classical measurement errors in consumption without parametric assumptions on the distribution of measurement errors. We estimate the parameters by nonlinear generalized method of moments and find that habit formation is an important determinant of household foodconsumption patterns. Using the parameter estimates, we develop bounds for the expectation of the implied heterogeneous intertemporal elasticity of substitution and relative risk aversion that account for measurement errors, and compute confidence intervals for these bounds.

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Section: Intertemporal Elasticity Of Substitution and Relative Risk Amentioning

confidence: 93%

Micro-Level Estimation of Optimal Consumption Choice With Intertemporal Nonseparability in Preferences and Measurement Errors

Gayle

Khorunzhina

2017

Journal of Business & Economic Statistics

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“…Both of these assets are traded on CMEGROUP and they represent highly liquid spot and futures markets with a long and robust returns history 13 . They were chosen as they represent two of the most important 12 For evidence and a discussion of increasing relative risk aversion see Eisenhauer and Ventura (2003). …”

Section: Datamentioning

confidence: 99%

Performance of Utility Based Hedges

Cotter

Hanly

2014

SSRN Journal

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“…65 Eisenhauer and Ventura (2003) are an exception in finding values of R and P in the 7 to 8 range, but they base their estimation on answers regarding willingness to pay for a security from a Bank of Italy survey of Italian households. Optimal r for G = 0: …”

Section: G3 Second-order Taylor Series Expansion Of Marginal Utilitymentioning

confidence: 99%

Fiscal Externalities and Optimal Unemployment Insurance

Lawson

2014

SSRN Journal

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In analyses of the optimal design of government programs, an important consideration is the extent to which a program can impact labour market outcomes. Typically, such analyses consider one government program in isolation, abstracting away from other roles of government, and thereby ignoring "fiscal externalities," or the effects of the program's labour market impacts on income tax revenues. This paper assesses the importance of fiscal externalities in the context of optimal unemployment insurance. I calibrate and simulate a standard dynamic job search model, and perform a theoretical and numerical analysis of the seminal Baily (1978) two-period model of unemployment, in order to answer the question: how much does the abstraction from other government activities matter for optimal UI calculations? Numerical results indicate that it can matter a lot: with moderate risk-aversion and no effect of UI benefits on subsequent wages, the optimal replacement rate drops from around 40% to zero. Higher risk-aversion moderates this effect, and a large positive effect of UI on wages could significantly increase the optimal benefit level. The theoretical analysis indicates that accounting for fiscal externalities increases the estimated optimal benefit level if and only if higher benefits increase total post-unemployment earnings.

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Survey measures of risk aversion and prudence

Cited by 73 publications

References 16 publications

Micro-Level Estimation of Optimal Consumption Choice With Intertemporal Nonseparability in Preferences and Measurement Errors

Micro-Level Estimation of Optimal Consumption Choice With Intertemporal Nonseparability in Preferences and Measurement Errors

Performance of Utility Based Hedges

Fiscal Externalities and Optimal Unemployment Insurance

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