Decreasing Relative Risk Aversion and Tests of Risk Sharing
Decreasing Relative Risk Aversion and Tests of Risk Sharing
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相对风险规避的降低和风险分担的考验
DOI：
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发表时间：
2001
期刊：
影响因子：
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通讯作者：
Qiang Zhang
中科院分区：
文献类型：
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作者：
M. Ogaki;Qiang Zhang
消费接近最低生活水平的家庭的相对风险规避系数可能很高。例如，如果消费恰好处于勉强糊口的水平，那么家庭可能就不愿意承担任何风险。如果是这样的话，对于贫困家庭来说，RRA系数一定是财富的递减函数。因此，在检验完全风险分担假说时，应考虑降低RRA(DRRA)的可能性。然而，经验文献中现有的检验是使用偏好得出的，即使当它们应用于包含低收入家庭的数据时，也表现出递增或恒定的RRA。因此，我们使用双曲绝对风险厌恶(HARA)效用来检验完全风险分担假说，该效用意味着作为特例的递增、恒定和递减递增的RRA。利用国际粮食政策研究所(IFPRI)和国际半干旱热带作物研究所(ICRISAT)的家庭数据集，我们发现了支持DRRA假说的证据，以及在村庄一级支持完全风险分担假说的证据，以及在村际一级反对该假说的证据。当RRA被限制为常数时，我们重复了文献中的结果：在两个水平上拒绝完全风险分担假说。然而，我们的测试拒绝了这一限制，几乎在所有情况下都支持DRRA。这些结果表明，在调查包含低收入家庭的数据时，允许DRRA检验完全风险分担假说是重要的。
The relative risk aversion (RRA) coefficient of a household whose consumption is close to the subsistence level may be very high. For example, if consumption is exactly at the subsistence level, the household may not be willing to bear any risk. If this is the case, then the RRA coefficient must be a decreasing function of wealth for poor households. Therefore we should allow the possibility of decreasing RRA (DRRA) in testing the full risk sharing hypothesis. However, existing tests in the empirical literature are derived using preferences that exhibit either increasing or constant RRA even when they are applied to data containing low-income households. We therefore use a Hyperbolic Absolute Risk Aversion (HARA) utility, which implies increasing, constant, and decreasing RRA as special cases, to test full risk-sharing hypothesis. Using the International Food Policy Research Institute (IFPRI) and the International Crops Research Institute of the Semi-Arid Tropics (ICRISAT) household level data sets, we find evidence in support of the DRRA hypothesis, along with evidence favoring full risk-sharing hypothesis at the village level, and evidence against the hypothesis at the inter-village level. When RRA is restricted to be constant, we replicate the previous results in the literature: reject the full risk-sharing hypothesis at both levels. Our tests, however, reject this restriction and favor DRRA in almost all cases. These results suggest that it is important to allow for DRRA in testing the full risk-sharing hypothesis when data containing low-income households are investigated.