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Estimating Relative Risk Aversion, the Discount Rate, and the Intertemporal Elasticity of Substitution in Consumption for Brazil Using Three Types of Utility Function
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
Estimating Relative Risk Aversion, the Discount Rate, and the Intertemporal Elasticity of Substitution in Consumption for Brazil Using Three Types of Utility Function
Estimating Relative Risk Aversion, the Discount Rate, and the Intertemporal Elasticity of Substitution in Consumption for Brazil Using Three Types of Utility Function |
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| Creator |
Issler, João Victor; Graduate School of Economics, Getulio Vargas Foundation
Piqueira, Natalia Scotto; Graduate School of Economics, Getulio Vargas Foundation |
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| Subject |
CCAPM; GMM; Risk aversion; discount rate; Intertemporal elasticity of substitution in consumption.
C3, E2, Gl . CCAPM; GMM; Risk aversion; discount rate; Intertemporal elasticity of substitution in consumption. C3, E2, Gl . |
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| Description |
Using the generalized method of moments, we estimate structural parameters related to relative-risk aversion, the discount rate of future utility, and the intertemporal elasticity of substitution in consumption for the Brazilian economy. Estimates are provided for three types of utility function based on the consumption capital asset pricing model: constant relative risk aversion utility, utility with external habit, and Kreps-Porteus utility. These results are analyzed and then compared to previous results using Brazilian and U.S. data. Moreover, we perform over-identifying restrictions tests of all estimated models to investigate the possible existence of the equity premium puzzle in Brazil. The overall results show that Brazilian consumers have a relatively high discount rate, a low intertemporal elasticity of substitution, and a high relative risk aversion coefficient. Also, there is no evidence of the existence of the equity premium puzzle in Brazil.
Nesse trabalho estima-se, usando o método generalizado dos momentos e dados brasileiros, os parâmetros estruturais do modelo CCAPM (consumption capital asset pricing model) a partir de três classes de funções utilidade distintas: função utilidade potência (CRRA), utilidade com hábito externo, e aversão ao desapontamento (Kreps-Porteus). Estes parâmetros estruturais estão associados à aversão ao risco, à elasticidade de substituição intertemporal no consumo e à taxa de desconto intertemporal da utilidade futura. Os resultados aqui obtidos são analisados e comparados com resultados anteriores para dados brasileiros e americanos. Adicionalmente, testa-se econometricamente todos os modelos estruturais estimados a partir do teste de restrições de sobre-identificação, para investigar, da forma mais abrangente possível, se há ou não equity premium puzzle para o Brasil. Os resultados surpreendem, dado que, em raríssimas ocasiões, se rejeita as restrições implícitas nesses modelos. Logo, conclui-se que não há equity premium puzzle para o Brasil. |
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| Publisher |
Sociedade Brasileira de Econometria
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| Date |
2000-11-02
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2758
10.12660/bre.v20n22000.2758 |
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| Source |
Brazilian Review of Econometrics; Vol 20, No 2 (2000); 201-239
Brazilian Review of Econometrics; Vol 20, No 2 (2000); 201-239 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/2758/1692
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