"Decreasing Relative Risk Aversion, Risk Sharing, and the Permanent Income Hypothesis" by Qiang Zhang

Selected Works of Qiang Zhang

Article

Decreasing Relative Risk Aversion, Risk Sharing, and the Permanent Income Hypothesis

Journal of Business & Economic Statistics (Copyright: American Statistical Association) (2004)

Qiang Zhang, University of Leicester
Masao Ogaki

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Abstract

This paper develops a method to test the risk sharing hypothesis (RSH) against various versions of the permanent income hypothesis (PIH) while allowing for heterogeneity in risk preferences across households. Using one-year and longer differences in household total non-durable consumption data from Indian villages, we find evidence that favors RSH rather than the PIH at the village level.

Keywords

Consumption Smoothing,
Risk Sharing,
Permanent Income Hypothesis,
GMM

Disciplines

Economics

Publication Date

October, 2004

Citation Information

Qiang Zhang and Masao Ogaki. "Decreasing Relative Risk Aversion, Risk Sharing, and the Permanent Income Hypothesis" Journal of Business & Economic Statistics (Copyright: American Statistical Association) Vol. 22 Iss. 4 (2004)
Available at: http://works.bepress.com/qiang_zhang/5/