Disentangling the Coefficient of Relative Risk Aversion from the Elasticity of Intertemporal Substitution: An Irrelevance Result
Disentangling the Coefficient of Relative Risk Aversion from the Elasticity of Intertemporal Substitution: An Irrelevance Result
复制标题
将相对风险规避系数与跨期替代弹性分开：一个不相关的结果
DOI：
10.1111/j.1540-6261.1990.tb05086.x
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发表时间：
1990
影响因子：
8
通讯作者：
N. Kocherlakota
中科院分区：
文献类型：
--
作者：
N. Kocherlakota
对于拟似时间和状态可分离偏好，相对风险厌恶系数等于跨期替代弹性的倒数。本文表明，当消费增长率独立同分布时，相对风险厌恶系数与跨期替代弹性不再挂钩的基于偏好的资产定价模型并不具有更强的解释力。此外，在这些随机环境中，标准偏好中相对风险厌恶系数的估计是相对风险厌恶真实系数的度量，而不是跨期替代弹性的度量。这些结果相当准确地描述了使用美国年度数据校准的经济体。版权所有 1990 美国金融协会。
For homothetic time and state separable preferences, the coefficient of relative risk aversion is equal to the reciprocal of the elasticity of intertemporal substitution. This paper shows that, when the growth rate of consumption is independent and identically distributed, asset pricing models based upon preferences in which the coefficient of relative risk aversion and the elasticity of intertemporal substitution are no longer linked do not have more explanatory power. Further, in these stochastic environments, estimates of the coefficient of relative risk aversion in the standard preferences are measures of the true coefficient of relative risk aversion and not the elasticity of intertemporal substitutions. These results are fairly accurate descriptions of economies calibrated using United States annual data. Copyright 1990 by American Finance Association.