Econ Papers Daily / 期刊论文
风险厌恶与时变风险的不相关定理
An irrelevance theorem for risk aversion and time-varying risk
摘要
We provide a theorem on the role of risk and risk attitudes in macroeconomic models that clarifies and extends the Tallarini (2000) separation result. Under (1) separation of intertemporal and risk preferences, (2) separation of drivers of first and higher moments in the model primitives, and (3) approximate linearity of constraints, risk aversion and time-varying risk are irrelevant for the elasticity of any endogenous variable with respect to state variables that don’t drive variation in higher moments. We discuss how models generate a more prominent role for risk by “breaking” or “adapting” to the assumptions in the theorem.
中文摘要
我们提供了一个关于风险及风险态度在宏观经济模型中作用的定理，该定理阐明并扩展了Tallarini（2000）的分离结果。在（1）跨期偏好与风险偏好分离，（2）模型基础中一阶矩与高阶矩驱动因素分离，以及（3）约束近似线性的条件下，风险厌恶与时变风险对于任何内生变量相对于不驱动高阶矩变动的状态变量的弹性而言是无关的。我们讨论了模型如何通过“打破”或“适应”定理中的假设，从而赋予风险更显著的角色。