リスク態度を含む動学的一致に関するテスト : 報酬デザインがある実験とアンケート実験の比較

概要

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This paper examines separation of risk aversion from intertemporal substitution as in Epstein and Zin [1] via experimental methods with actual monetary reward of each subject. By using actual play related to the reward on choices over consumption sequences in which timing of resolution of risk matters, we estimate three factors; risk aversion, intertemporal substitution and the rate of time preference. Half subjects who have positive time preference rates exhibit dynamically consistent choices, which supports the validity of recursive utility. The estimated coefficient of relative risk aversion is significantly different from the intertemporal elasticity of substitution, which supports the separation. These results are consistent with the results of experiment without reward design in Wada and Oda [6].
敬愛大学・千葉敬愛短期大学の論文