G2TT
来源类型Discussion paper
规范类型论文
来源IDDP17411
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
URLhttps://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.
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