G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4055
DP4055 On the Causes of Overlending: Are Guarantees on Deposits the Culprit?
Mariassunta Giannetti
发表日期2003-09-23
出版年2003
语种英语
摘要This Paper examines how aversion to risk and aversion to intertemporal substitution determines the strength of the precautionary saving motive in a two-period model with Kreps-Porteus preferences. For small risks, we derive a measure of the strength of the precautionary saving motive, which generalizes the concept of ?prudence? introduced by Kimball (1990b). For large risks, we show that decreasing absolute risk aversion guarantees that the precautionary saving motive is stronger than risk aversion, regardless of the elasticity of intertemporal substitution. Holding risk preferences fixed, the extent to which the precautionary saving motive is stronger than risk aversion increases with the elasticity of intertemporal substitution. We derive sufficient conditions for a change in risk preferences alone to increase the strength of the precautionary saving motive and for the strength of the precautionary saving motive to decline with wealth. Within the class of constant elasticity of intertemporal substitution, constant-relative risk aversion utility functions, these conditions are also necessary.
主题International Macroeconomics
关键词Consumption Saving Uncertainty Precautionary Risk aversion Intertemporal substitution Smoothing Kreps-porteus
URLhttps://cepr.org/publications/dp4055
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/533031
推荐引用方式
GB/T 7714
Mariassunta Giannetti. DP4055 On the Causes of Overlending: Are Guarantees on Deposits the Culprit?. 2003.
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