| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2822 |
| DP2822 Portfolio Choice and Liquidity Constraints | |
| Michael Haliassos; Alexander Michaelides | |
| 发表日期 | 2001-04-06 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | We use household survey data to construct a direct measure of absolute risk aversion based on the maximum price a consumer is willing to pay to enter a lottery. We relate this measure to consumers' endowment and attributes and to measures of background risk. We find that risk aversion is a decreasing function of endowment - thus rejecting CARA preferences ? but that the elasticity to consumption is far below the unitary value predicted by CRRA utility. We also find that households' attributes are of little help in predicting their degree of risk aversion, which is characterized by massive unexplained heterogeneity. The consumers' environment, however, affects risk aversion. Individuals who are more likely to face income uncertainty exhibit a higher degree of absolute risk aversion, consistent with recent theories of attitudes towards risk in the presence of uninsurable risks. We also find that risk attitudes have considerable predictive power over several household decisions, including occupation and portfolio choice, moving decisions and health status. |
| 主题 | International Macroeconomics |
| 关键词 | Background risk Heterogeneous preferences Risk aversion Prudence |
| URL | https://cepr.org/publications/dp2822 |
| 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/531815 |
| 推荐引用方式 GB/T 7714 | Michael Haliassos,Alexander Michaelides. DP2822 Portfolio Choice and Liquidity Constraints. 2001. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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