Arbeitspapier
People are less risk-averse than economists think
We collect 1,021 estimates from 92 studies that use the consumption Euler equation to measure relative risk aversion and that disentangle it from intertemporal substitution. We show that calibrations of risk aversion are typically larger than estimates thereof. Moreover, reported estimates are typically larger than the underlying risk aversion because of publication bias. After correction for the bias, the literature suggests a mean risk aversion of 1 in economics and 2-7 in finance contexts. The reported estimates are systematically driven by the characteristics of data (frequency, dimension, country, stockholding) and utility (functional form, treatment of durables). To obtain these results we use nonlinear techniques to correct for publication bias and Bayesian model averaging techniques to account for model uncertainty.
- Language
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Englisch
- Bibliographic citation
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Series: IES Working Paper ; No. 14/2022
- Classification
-
Wirtschaft
Survey Methods; Sampling Methods
Criteria for Decision-Making under Risk and Uncertainty
Micro-Based Behavioral Economics: General‡
- Subject
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Euler equation
risk aversion
Epstein-Zin preferences
meta-analysis
publication bias
Bayesian model averaging
- Event
-
Geistige Schöpfung
- (who)
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Elminejad, Ali
Havránek, Tomáš
Havránková, Zuzana
- Event
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Veröffentlichung
- (who)
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Charles University in Prague, Institute of Economic Studies (IES)
- (where)
-
Prague
- (when)
-
2022
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Elminejad, Ali
- Havránek, Tomáš
- Havránková, Zuzana
- Charles University in Prague, Institute of Economic Studies (IES)
Time of origin
- 2022
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