Is Self-Reported Risk Aversion Time Varying?
Résumé
We examine a Japanese Panel Survey in order to verify whether self-reported risk aversion varies over time. In most panels, risk attitudes variables are collected only once (found in only one survey wave), and it is assumed that self-reported risk aversion reflects individual's time-invariant component of preferences toward risk. Nonetheless, one may wonder whether financial and health shocks a person faces over his lifetime modify his risk aversion. Our empirical analysis provides proof that risk aversion is composed of a time-variant part and shows that the variation cannot be reduced to measurement error or noise given that it is related to income or health shocks. Then, we nonetheless find that time-invariant factors explain a bigger share of individual risk aversion than time-variant ones. Taking into account the fact that there are still time-variant factors in risk aversion, we investigate how often it is preferable to collect the risk aversion measure in long panel surveys. Our result suggests that the best predictor for current behaviors is the average of risk aversion, where risk aversion is collected every 3-4 years. The risk aversion measure is, therefore, advised to be collected every 3 or 4 years in long panel surveys.
Domaines
Economies et financesOrigine | Fichiers produits par l'(les) auteur(s) |
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