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Dan Gottlieb: Stochastic Impatience and the Separation of Time and Risk Preferences
We study how the separation of time and risk preferences relates to a behavioral property that generalizes impatience to stochastic environments: Stochastic Impatience. We show that, within a broad class of models, Stochastic Impatience holds if and only if risk aversion is not too high relative to the inverse of the elasticity of intertemporal substitution. In particular, in the models of Epstein and Zin (1989) and Hansen and Sargent (1995), Stochastic Impatience is violated for all commonly used parameters.
Date:
29 October 2021, 15:15
Venue:
Manor Road Building, Manor Road OX1 3UQ
Venue Details:
Seminar Room A or Join online https://zoom.us/j/91802954429?pwd=ZzNyeEcvL3JjN2NPVWZHVG9hcmR1UT09
Speaker:
Dan Gottlieb (London School of Economics)
Organising department:
Department of Economics
Part of:
Nuffield Economic Theory Seminar
Booking required?:
Not required
Audience:
Members of the University only
Editor:
Emma Heritage
