| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP359 |
| DP359 Risk Aversion, Intertemporal Substitution and Consumption: the CARA-LQ Problem | |
| Frederick van der Ploeg | |
| 发表日期 | 1990 |
| 出版年 | 1990 |
| 语种 | 英语 |
| 摘要 | This paper employs the recursive utility approach, based on quadratic felicity functions and constant absolute risk aversion, to distinguish between risk aversion and intertemporal substitution. Stochastic dynamic programming yields closed-loop linear decision rules for the CARA-LQ problem. Certainty equivalence no longer holds, but instead the decision maker plays a min-max strategy against nature. When applied to a life cycle consumption problem, one finds a rationale for precautionary saving and a larger sensitivity of changes in consumption to income innovations. It is also shown that consumers with Ricardian rationality can display a Keynesian propensity to consume out of a current tax cut. |
| 关键词 | Consumption Intertemporal substitution Risk aversion |
| URL | https://cepr.org/publications/dp359 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529517 |
| 推荐引用方式 GB/T 7714 | Frederick van der Ploeg. DP359 Risk Aversion, Intertemporal Substitution and Consumption: the CARA-LQ Problem. 1990. |
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