Decreasing relative risk aversion, risk sharing, and the permanent income hypothesis

Qiang Zhang, Masao Ogaki

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

This article develops a method for testing the risk-sharing hypothesis (RSH) against various versions of the permanent income hypothesis (PIH) while allowing for heterogeneity in risk preferences across households. Using 1-year and longer differences in household total nondurable consumption data from Indian villages, we find evidence that favors the RSH over the PIH at the village level.

Original languageEnglish
Pages (from-to)421-430
Number of pages10
JournalJournal of Business and Economic Statistics
Volume22
Issue number4
DOIs
Publication statusPublished - 2004 Oct
Externally publishedYes

Fingerprint

Risk Sharing
Risk Aversion
Relative Risk
income
village
Testing
Risk sharing
Household
Relative risk aversion
Permanent income hypothesis
evidence
Risk preferences

Keywords

  • Consumption smoothing
  • Generalized method of moments
  • Panel data
  • Permanent income hypothesis
  • Risk-sharing hypothesis

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Economics and Econometrics
  • Statistics and Probability
  • Social Sciences (miscellaneous)

Cite this

Decreasing relative risk aversion, risk sharing, and the permanent income hypothesis. / Zhang, Qiang; Ogaki, Masao.

In: Journal of Business and Economic Statistics, Vol. 22, No. 4, 10.2004, p. 421-430.

Research output: Contribution to journalArticle

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