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Communication dans un congrès Année : 2010

The Macroeconomic Evidence for Prudence

Résumé

We explore the macroeconomic evidence for a “prudent" risk attitude using a Real Business Cycle model. We extend the consumer side of the model with the “expo-power" utility function, which can generate increasing, decreasing, or constant relative prudence depending on its parameters. Using the particle-filter maximum-likelihood method, we estimate the model using US macroeconomic data and find weak decreasing relative prudence. The policy implications of this risk attitude are investigated by examining the implicit “social" discount rate. Although the discount effect is small in percentage-point terms, the valuation differential over a long horizon can be large.
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Dates et versions

hal-02822304, version 1 (06-06-2020)

Identifiants

  • HAL Id : hal-02822304 , version 1
  • PRODINRA : 51164

Citer

Aj Allen Bostian, Christoph Heinzel. The Macroeconomic Evidence for Prudence. 79. Annual Meeting of the Southern Economic Association (SEA), University of Tennessee. Southern Economic Association SEA, Chattanooga, USA.; European Economic Association (EEA). INT., Nov 2009, San Antonio, United States. 15 p. ⟨hal-02822304⟩
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Dernière date de mise à jour le 07/04/2024
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