跨期替代弹性、风险和时间偏好的联合得出,International Journal of Finance and Economics

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跨期替代弹性、风险和时间偏好的联合得出
International Journal of Finance and Economics Pub Date : 2023-09-04 , DOI: 10.1002/ijfe.2879
Luciano de Castro ₁ , Antonio F. Galvao ₂ , Gabriel Montes‐Rojas ₃ , Jose Olmo _{4,

5}

Affiliation

动态模型中跨期替代弹性（EIS）、贴现因子和风险态度参数的得出对于经济学、金融和公共政策至关重要。本文提出了一种使用实验数据联合导出和估计这三个参数的替代方法。我们采用基于动态分位数偏好的新模型，在该模型中，个人最大化未来的流

τ $$ \tau $$

-分位数实用程序，用于

τ ε (0, 1) $$ \tau \in \left(0,1\right) $$

。这些首选项很简单、动态一致且单调。在分位数模型中，风险态度由分位数捕获

τ $$ \tau $$

收益分布的分布，而 EIS 和贴现因子与描述个体跨期行为的效用函数相关，因此允许风险、EIS 和贴现因子之间完全分离。感兴趣参数的估计使用结构最大似然法。个人的风险厌恶程度估计低于中位数。贴现因子略小于文献中报告的估计值，EIS 略大于 1，这表明随着时间的推移效用是凹的。弹性的估计与现有研究使用观察分类数据报告的结果形成鲜明对比，后者通常发现弹性小于 1。

"点击查看英文标题和摘要"

Joint elicitation of elasticity of intertemporal substitution, risk and time preferences

The elicitation of the elasticity of intertemporal substitution (EIS), discount factor and risk attitude parameters in dynamic models is of central importance to economics, finance and public policy. This paper suggests an alternative method to jointly elicit and estimate these three parameters using experimental data. We employ a new model based on dynamic quantile preferences, where individuals maximize the stream of future

τ $$ \tau $$

-quantile utilities, for

τ \in (0, 1) $$ \tau \in \left(0,1\right) $$

. These preferences are simple, dynamically consistent and monotonic. In the quantile model, the risk attitude is captured by the quantile

τ $$ \tau $$

of the payoff distribution, while the EIS and the discount factor are related to the utility function describing individual's intertemporal behaviour, hence allowing for complete separability between risk, EIS and discount factor. The estimation of the parameters of interest uses a structural maximum likelihood method. Individual's risk aversion is estimated below the median. The discount factor is marginally smaller than estimates reported in the literature, and the EIS is slightly larger than one, which suggests that utility over time is concave. The estimates for the elasticity contrast with those reported by the existing studies using observational disaggregated data, which in general find an elasticity smaller than one.

更新日期：2023-09-05

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