Risk Aversion and the Elasticity of Intertemporal Substitution among Australian Households
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Freestone, Owen; Breunig, Robert
Description
This paper explores the degree of risk aversion amonsg Australian households using panel data from the Household Income and Labour Dynamics in Australia (HILDA) Survey. Using households' share of risky assets, we test whether relative risk aversion is constant in wealth. After accounting for measurement error, we cannot reject the constant relative risk aversion (CRRA) assumption. Using a CRRA utility function, we estimate the elasticity of intertemporal substitution and infer a coefficient of...[Show more]
Collections | ANU Research Publications |
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Date published: | 2020 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/264054 |
Source: | Economic Record |
DOI: | 10.1111/1475-4932.12538 |
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01_Freestone_Risk_Aversion_and_the_2020.pdf | 211.65 kB | Adobe PDF | Request a copy |
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