SUBSTITUTION, RISK-AVERSION, AND THE TEMPORAL BEHAVIOR OF CONSUMPTION AND ASSET RETURNS - AN EMPIRICAL-ANALYSIS
SUBSTITUTION, RISK-AVERSION, AND THE TEMPORAL BEHAVIOR OF CONSUMPTION AND ASSET RETURNS - AN EMPIRICAL-ANALYSIS
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DOI：
10.1086/261750
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发表时间：
1991-04-01
影响因子：
8.2
通讯作者：
ZIN, SE
中科院分区：
文献类型：
--
作者：
EPSTEIN, LG;ZIN, SE
本文研究了代表性代理模型所隐含的消费和资产回报的时间序列行为的可测试限制，其中跨期偏好由一般化传统的、时间加性的、期望效用的效用函数表示。基于这些偏好的模型可以更清晰地分离可观察到的风险规避行为和跨期替代行为。此外，它嵌套了消费CAPM和静态CAPM的预测，并且允许对预期效用假设进行直接测试。我们发现，非期望效用模型的性能和期望效用假设的检验对消费度量和工具变量的选择都很敏感。
This paper investigates the testable restrictions on the time-series behavior of consumption and asset returns implied by a representative agent model in which intertemporal preferences are represented by utility functions that generalize conventional, time-additive, expected utility. The model based on these preferences allows a clearer separation of observable behavior attributable to risk aversion and to intertemporal substitution. Further, it nests the predictions of both the consumption CAPM and the static CAPM, and it allows direct tests of the expected utility hypothesis. We find that the performance of the non-expected utility model and tests of the expected utility hypothesis are sensitive to the choice of both consumption measure and instrumental variables.