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 1
Externally publishedYes

Keywords

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

ASJC Scopus subject areas

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

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