Measuring preferences over the temporal resolution of consumption uncertainty

Autor: Philipp Pfeiffer, Thomas Meissner
Přispěvatelé: RS: GSBE Theme Human Decisions and Policy Design, Microeconomics & Public Economics, RS: GSBE UM-BIC
Jazyk: angličtina
Rok vydání: 2022
Předmět:
Economics and Econometrics
Recursive utility
Risk and time preferences
Individual
Measure (mathematics)
c91 - Design of Experiments: Laboratory
LONG-RUN
RISK-AVERSION
e24 - "Employment
Unemployment
Wages
Intergenerational Income Distribution
Aggregate Human Capital"
COGNITIVE REFLECTION
Econometrics
g12 - "Asset Pricing
Trading volume
Bond Interest Rates"
Economic Growth and Aggregate Productivity: General
ATTITUDES
Design of Experiments: Laboratory
o40 - Economic Growth and Aggregate Productivity: General
Mathematics
Consumption (economics)
preference elicitation
UTILITY
Timing of resolution of uncertainty
SUBSTITUTION
Financial Markets and the Macroeconomy
RETURNS
Preference
Asset Pricing
Bond Interest Rates
c91 - Design of Experiments: Laboratory
Individual
e44 - Financial Markets and the Macroeconomy
Temporal resolution
Employment
Aggregate Human Capital
GROWTH
timing premia
Negative correlation
BEHAVIOR
Zdroj: Journal of Economic Theory, 200:105379. Elsevier Science
ISSN: 0022-0531
Popis: Timing premia measure how much consumption people are willing to forgo to resolve all consumption uncertainty immediately. We develop a novel experiment that allows to elicit these attitudes directly, in a model-free way. On average subjects forgo around 5% of their total consumption to resolve all uncertainty immediately. Recursive utility models postulate a structural link between timing premia and deep preference parameters. We elicit these preference parameters separately, and estimate corresponding predicted timing premia. Comparing directly elicited and predicted timing premia allows to test this structural link. Surprisingly, we find a negative correlation between predicted and elicited timing premia.
Databáze: OpenAIRE
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