Heterogeneity in risk attitudes, if not properly accounted for, may induce a bias on the income coefficient of standard consumption insurance regressions. We show that, extending the theoretical analysis and empirical findings in Schulhofer-Wohl (Journal of Political Economy, 2011, 119, 925–958), the sign of the bias is ambiguous, and depends on cycle-related variables and on the covariances of both aggregate and idiosyncratic risk with individual risk aversion.
Heterogeneity in risk aversion and risk sharing regressions / Asdrubali, Pierfederico; Tedeschi, Simone; Ventura, Luigi. - In: JOURNAL OF APPLIED ECONOMETRICS. - ISSN 0883-7252. - (2019), pp. 1-9. [10.1002/jae.2686]
Heterogeneity in risk aversion and risk sharing regressions
Tedeschi, Simone;Ventura, Luigi
2019
Abstract
Heterogeneity in risk attitudes, if not properly accounted for, may induce a bias on the income coefficient of standard consumption insurance regressions. We show that, extending the theoretical analysis and empirical findings in Schulhofer-Wohl (Journal of Political Economy, 2011, 119, 925–958), the sign of the bias is ambiguous, and depends on cycle-related variables and on the covariances of both aggregate and idiosyncratic risk with individual risk aversion.File | Dimensione | Formato | |
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