Autori: Saltari, Enrico , Ticchi, Davide
Titolo: Risk aversion, intertemporal substitution, and the aggregate investment-uncertainty relationship
Periodico: Università degli Studi di Roma "La Sapienza" - Dipartimento di Economia Pubblica. Working Paper
Anno: 2004 - Volume: 5 - Fascicolo: 69 - Pagina iniziale: 1 - Pagina finale: 30

We analyze the role of risk aversion and intertemporal substitution in a simple dynamic investment model. Our main finding is that risk aversion cannot by itself explain a negative relationship between aggregate investment and aggregate uncertainty, as the effect of increased uncertainty on investment also depends on the intertemporal elasticity of substitution. In particular, the relationship between aggregate investment and aggregate uncertainty is positive even if agents are very risk averse, as long as the elasticity of intertemporal substitution is low. A negative relationship requires that the relative risk aversion and the elasticity of intertemporal substitution are both relatively high or both relatively low. We also show that the implications of our model are consistent with the available empirical evidence.


Premi sulle icone a fianco dei nomi per visualizzare i libri scritti dall'autore

---

---

SICI: 1974-2940(2004)5:69<1:RAISAT>2.0.ZU;2-9
Testo completo: http://dep.eco.uniroma1.it/docs/working_papers/wp69.pdf

Esportazione dati in Refworks (solo per utenti abilitati)