| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP17411 |
| DP17411 People Are Less Risk-Averse than Economists Think | |
| Ali Elminejad; Tomas Havranek; Zuzana Irsova | |
| 发表日期 | 2022-06-28 |
| 出版年 | 2022 |
| 语种 | 英语 |
| 摘要 | We collect 1,021 estimates from 92 studies that use the consumption Euler equation to measure relative risk aversion and that disentangle it from intertemporal substitution. We show that calibrations of risk aversion are typically larger than estimates thereof. Moreover, reported estimates are typically larger than the underlying risk aversion because of publication bias. After correction for the bias, the literature suggests a mean risk aversion of 1 in economics and 2--7 in finance contexts. The reported estimates are systematically driven by the characteristics of data (frequency, dimension, country, stockholding) and utility (functional form, treatment of durables). To obtain these results we use nonlinear techniques to correct for publication bias and Bayesian model averaging techniques to account for model uncertainty. |
| 主题 | Macroeconomics and Growth |
| 关键词 | Euler equation Risk aversion Epstein-zin preferences Meta-analysis Publication bias Bayesian model averaging |
| URL | https://cepr.org/publications/dp17411 |
| 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/546486 |
| 推荐引用方式 GB/T 7714 | Ali Elminejad,Tomas Havranek,Zuzana Irsova. DP17411 People Are Less Risk-Averse than Economists Think. 2022. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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