G2TT
来源类型Discussion paper
规范类型论文
来源IDDP359
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
URLhttps://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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