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- handle: 10670/1.wts4dc
- hal: hal-03415717
- doi: 10.1111/j.1538-4616.2009.00205.x
- SCIENCESPO: 2441/5l6uh8ogmqildh09h48344k81
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info:eu-repo/semantics/altIdentifier/doi/10.1111/j.1538-4616.2009.00205.x
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info:eu-repo/semantics/altIdentifier/hdl/2441/5l6uh8ogmqildh09h48344k81
Mots-clés
precautionary saving risk aversion intertemporal substitution D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty D - Microeconomics/D.D9 - Intertemporal Choice/D.D9.D91 - Intertemporal Household Choice • Life Cycle Models and Saving E - Macroeconomics and Monetary Economics/E.E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy/E.E2.E21 - Consumption • Saving • WealthSujets proches
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Miles Kimball et al., « Precautionary Saving and Consumption Smoothing across Time and Possibilities », Archive ouverte de Sciences Po (SPIRE), ID : 10.1111/j.1538-4616.2009.00205.x
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Résumé
This paper examines how aversion to risk and aversion to intertemporal substitution determine the strength of the precautionary saving motive in a two-period model with Selden/Kreps–Porteus preferences. For small risks, we derive a measure of the strength of the precautionary saving motive that generalizes the concept of “prudence” introduced by Kimball (1990b). For large risks, we show that decreasing absolute risk aversion guarantees that the precautionary saving motive is stronger than risk aversion, regardless of the elasticity of intertemporal substitution. Holding risk preferences fixed, the extent to which the precautionary saving motive is stronger than risk aversion increases with the elasticity of intertemporal substitution. We derive sufficient conditions for a change in risk preferences alone to increase the strength of the precautionary saving motive and for the strength of the precautionary saving motive to decline with wealth.Within the class of constant elasticity of intertemporal substitution, constant-relative risk aversionutility functions, these conditions are also necessary.