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The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility

Bhamra, Harjoat S.; Uppal, Raman - C.E.P.R. Discussion Papers - 2005

an investor’s risk aversion and elasticity of intertemporal substitution that is made possible by recursive utility, in … contrast to expected utility, where the two are governed by the same parameter. In particular, we study exactly how risk …-date, discrete-time model with a stochastic interest rate, we obtain an exact analytic solution for the optimal consumption and …

Persistent link: https://www.econbiz.de/10005661747

Identity, Dignity and Taboos: Beliefs as Assets

Bénabou, Roland; Tirole, Jean - C.E.P.R. Discussion Papers - 2007

We analyze social and economic phenomena involving beliefs which people value and invest in, for affective or functional reasons. Individuals are at times uncertain about their own 'deep values' and infer them from their past choices, which then come to define 'who they are'. Identity...

Persistent link: https://www.econbiz.de/10005661790

Asset Pricing under Rational Learning about Rare Disasters

Koulovatianos, Christos; Wieland, Volker - C.E.P.R. Discussion Papers - 2011

persist for some time. Thus, belief dynamics are a source of apparent excess volatility relative to a rational expectations … probability. Our analysis is conducted in continuous time and offers closed-form solutions for asset prices. We distinguish …

Persistent link: https://www.econbiz.de/10009201120

Measuring Risk Attitudes in a Natural Experiment: Data from the Television Game Show LINGO

Beetsma, Roel; Schotman, Peter C - C.E.P.R. Discussion Papers - 1998

(CRRA) and Constant Absolute Risk Aversion (CARA) utility specifications perform approximately equally well, with CARA …

Persistent link: https://www.econbiz.de/10005661826

Consumption Over the Life-Cycle

Gourinchas, Pierre-Olivier; Parker, Jonathan A - C.E.P.R. Discussion Papers - 2000

This paper employs cohort technique and Consumer Expenditure Survey data to construct average age-profiles of consumption and income over the working lives of typical households across different education and occupation groups. Using these profiles, we estimate a structural model of optimal...

Persistent link: https://www.econbiz.de/10005504201

Effects on School Enrollment and Performance of a Conditional Cash Transfers Program in Mexico

de Janvry, Alain; Dubois, Pierre; Sadoulet, Elisabeth - C.E.P.R. Discussion Papers - 2007

We study the effects of a conditional cash transfers program on school enrollment and performance in Mexico. We provide a theoretical framework for analyzing the dynamic educational process including the endogeneity and uncertainty of performance at school (passing grades) and the effect of a...

Persistent link: https://www.econbiz.de/10005504259

Formal and Informal Risk Sharing in LDCs: Theory and Empirical Evidence

Dubois, Pierre; Jullien, Bruno; Magnac, Thierry - C.E.P.R. Discussion Papers - 2007

We develop and estimate a model of dynamic interactions where commitment is limited and contracts are incomplete to explain the patterns of income and consumption growth in village economies of less developed countries. Households can insure through both formal contracts and informal agreements,...

Persistent link: https://www.econbiz.de/10005504414

A Direct Test of the Buffer Stock Model of Saving

Jappelli, Tullio; Padula, Mario; Pistaferri, Luigi - C.E.P.R. Discussion Papers - 2007

Recent models with liquidity constraints and impatience emphasize that consumers use savings to buffer income fluctuations. When wealth is below an optimal target, consumers try to increase their buffer stock of wealth by saving more. When it is above target, they increase consumption. This...

Persistent link: https://www.econbiz.de/10005504459

Conspicuous Consumption, Human Capital and Poverty

Moav, Omer; Neeman, Zvika - C.E.P.R. Discussion Papers - 2008

Poor families around the world spend a large fraction of their income on consumption of goods that appear to be useless in alleviating poverty, while saving at very low rates and neglecting investment in health and education. Such consumption patterns seem to be related to the persistence of...

Persistent link: https://www.econbiz.de/10005504622

The Role of the Annuity's Value on the Decision (Not) to Annuitize: Evidence from a Large Policy Change

Bütler, Monika; Staubli, Stefan; Zito, Maria Grazia - C.E.P.R. Discussion Papers - 2008

of the cash-out decision to variations in a utility based measure for the annuity value is comparable to results of …

Persistent link: https://www.econbiz.de/10005504637