风险厌恶测定与我国银行治理效率的实证研究

基于FDIC对商业银行贷款损失所设定的概率分布,本文利用VaR方法对商业银行风险厌恶程度进行了测定,并利用我国上市银行2004～2008年间的财务数据对商业银行的风险厌恶程度进行了实证分析,结果表明商业银行的风险控制可以反映其风险厌恶程度,风险厌恶程度在风险控制中得到充分体现.银行的风险厌恶程度越高,净资产回报率越高.     

Intertemporal substitution, risk aversion and ambiguity aversion

Summary. This paper axiomatizes a form of recursive utility on consumption processes that permits a role for ambiguity as well as risk. The model has two prominent special cases: (i) the recursive model of risk preference due to Kreps and Porteus [18]; and (ii) an intertemporal version of multiple-priors utility due to Epstein and Schneider [8]. The generalization presented here permits a three-way separation of intertemporal substitution, risk aversion and ambiguity aversion.Received: 5 August 2003, Revised: 12 March 2004, JEL Classification Numbers: D80, D81, D90.I am grateful to Larry Epstein for his guidance and invaluable advice, and to a referee for helpful comments and suggestions.     

Risk and intertemporal substitution: Livestock portfolios and off-take among Kenyan pastoralists

Most decisions involve variability in two dimensions: uncertainty across states of nature and fluctuations over time. The stakes involved in tradeoffs between these variability dimensions are especially high for the poor who have difficulty managing and recovering from shocks. We assume Epstein and Zin recursive preferences and estimate risk aversion and intertemporal substitution as distinct preferences using data from Kenyan herders. Results suggest that the assumption implicit in additive expected utility models that relative risk aversion (RRA) is the inverse of the elasticity of intertemporal substitution (EIS) is flawed. Specifically, our RRA and EIS estimates are consistent with a preference for the early resolution of uncertainty, which we believe is driven importantly by the instrumental value of early uncertainty resolution. This same preference pattern is consistent with asset smoothing in response to a dynamic asset threshold.     

High equity premia and crash fears - Rational foundations

Summary. We show that in a Lucas endowment economy in which the process for dividends is described by a lattice tree subject to infrequent but observable structural breaks, in equilibrium recursive rational learning may inflate the equity risk premium and reduce the risk-free interest rate for low levels of risk aversion. The key condition for these results to obtain is the presence of sufficient initial pessimism. The relevance of these findings is magnified by the fact that under full information our artificial economy cannot generate asset returns matching the empirical evidence for any positive relative risk aversion.Received: 20 September 2003, Revised: 27 April 2005, JEL Classification Numbers: D83, E44, G12.I am indebted to Mordecai Kurz (the co-Editor), one anonymous Referee, Gabriele Camera, Sadayuki Ono, Olesia Verchenko, and Allan Timmermann for many useful comments. I also think seminar paticipants at the European Economic Association meetings in Stockholm (August 2003) and the Midwest Economics Association in St. Louis (March 2003).     

On bidding with securities: Risk aversion and positive dependence

DeMarzo et al. (2005) consider auctions in which bids are selected from a completely ordered family of securities whose values are tied to the resource being auctioned. The paper defines a notion of relative steepness of families of securities and shows that a steeper family provides greater expected revenue to the seller. Two assumptions are: the buyers are risk neutral; the random variables through which values and signals of the buyers are realized are affiliated. We show that this revenue ranking holds for the second price auction in the case of risk aversion. However, it does not hold if affiliation is relaxed to a less restrictive form of positive dependence, namely first order stochastic dominance (FOSD). We define the relative strong steepness of families of securities and show that it provides a necessary and sufficient condition for comparing two families in the FOSD case. All results extend to the English auction.     

The Effect of Better Information on Income Inequality

We consider an OLG economy with endogenous investment in human capital. Heterogeneity in individual human capital levels is modelled by a distribution of innate ability across agents. This distribution is common knowledge but, at young age, no agent knows his/her ability. The production of human capital depends on each individual’s investment in education. This investment decision is taken only after observing a signal which is correlated to his/her true ability, and which is used for updating beliefs. Thus, a better information system affects the distribution of human capital in each generation. Assuming separable and identical preferences for all individuals, we derive the following results in equilibrium: (a) If the relative measure of risk aversion is less (more) than 1 then more information raises (reduces) income inequality. (b) When a risk sharing market is available better information results in higher inequality regardless of the measure risk aversion. We are grateful to Alex Cukierman, Zvi Eckstein, Yona Rubinstein and Daniel Tsiddon. An anonymous referee made extremely useful comments and suggestions. Financial support from the German-Israeli Foundation for Scientific Research and Development (GIF) is gratefully acknowledged.     

The positive relation between average labour productivity and labour intensity

Conclusion In this paper an attempt has been made to reconcile the phenomenon of a simultaneous increase in average labour productivity and labour intensity with neo-classical theory. Under certain technical and psychological conditions, this phenomenon can indeed be generated by a neo-classical model, once it has been assumed that production does not only depend on labour and the number of capital goods but on the operating-hours per machine as well. A necessary condition is that the elasticity of substitution is less than unity. Moreover, the elasticity of the degree of overtime aversion with respect to the number of operating-hours per machine has to be negative and smaller in absolute value than the substitution coefficient.Today almost everybody agrees that in reality the elasticity of substitution is less than unity. So, the technical condition may be called realistic. However, it is doubtful whether this is the case with the psychological condition. It seems rather unrealistic that the aversion against overtime work decreases if one has to work at more inconvenient hours.Thus, we may conclude that it is doubtful whether amended neoclassical theory is able to give a realistic explanation of the phenomenon of simultaneously increasing labour intensity and labour productivity. In this respect approaches which discern the phenomenon of labour hoarding [5] or employ U-shaped short-run cost curves [2], may be more promising.I wish to thank Professors F. Hartog, F. J. de Jong, and G. F. Pikkemaat, and Mr. J. W. Gunning for making useful comments on a first draft of this paper.     

业务外包分阶段风险因素识别与风险规避研究

依据决策过程理论,将业务外包划分为业务规划与选择、合同形成与签订、合同执行、外包结果评价四大阶段,并研究得出业务外包各阶段风险影响因素。基于四阶段决策过程,建立包含自律、合作和评判三大机制的分阶段风险规避模型,探讨涵括业务外包四阶段的全过程风险规避方法、步骤、措施、对策等。并从风险应对输入、风险应对控制及风险应对输出3个方面探讨了业务外包开发分阶段风险应对模型,为业务外包分阶段风险控制体系提供了重要补充。     

The Risk and Incentives Trade-off in the Presence of Heterogeneous Managers

Agency theory predicts a negative relationship between risk and incentives, yet recent empirical evidence has not consistently found such a relationship. In fact, some researchers have found a positive relationship. By introducing competition for heterogeneous managers, who differ in their degrees of risk aversion, into a standard agency model, this paper demonstrates that a negative or positive relationship is theoretically possible. Which arises depends on the relative risk aversion parameters of the managers and the absolute and relative riskiness of the environments.Acknowledgement I thank two anonymous referees for helpful comments.     

Trust, trustworthiness, and risk in rural Paraguay

This dissertation looks at the relationship between trust, trustworthiness, and risk aversion in a rural Paraguayan setting. The first chapter of this dissertation looks at theft between farmers. Rural areas of developing countries often lack effective legal enforcement. However, villagers who know each other well and interact repeatedly may use implicit contracts to minimize crime. I construct a dynamic limited-commitment model in which a thief cannot credibly commit to forego stealing from his fellow villagers but may be induced to limit his stealing by the promise of future gifts from his potential victim. Using a unique survey from rural Paraguay which combines traditional data on production with information on theft, gifts, and trust, as well as with experiments measuring trust and trustworthiness, I test whether the data is consistent with predictions from the dynamic model. The results provide evidence that, in contrast with predictions from a one-period model with an anonymous thief, farmers do implicitly contract with one another to limit theft. Farmers who have more close family members in their village give fewer gifts, and farmers with plots which are more difficult to steal from give fewer gifts, experience less theft, and trust more. Gift-giving increases when trust is lower and the threat of theft is greater, turning the social capital literature on its head. The second chapter of this dissertation looks at a different linkage between trust, trustworthiness, and risk. Trusting behavior in general and play in the traditional trust experiment specifically depend both on trust beliefs and on levels of risk aversion. I ran two experiments with a diverse set of subjects in fifteen villages of rural Paraguay, the traditional trust experiment and a new experiment measuring only risk aversion. I find that risk attitudes are highly predictive of play in the trust game. In addition, omitting risk aversion as a regressor in trust regressions significantly changes the coefficients of important explanatory variables such as gender and wealth. The chair of this dissertation committee was Ethan Ligon and the other committee members were George Akerlof and Elisabeth Sadoulet.     

The effects of risk preferences in mixed-strategy equilibria of games

We consider the effects of risk preferences in mixed-strategy equilibria of 2×2 games, provided such equilibria exist. We identify sufficient conditions under which the expected payoff in the mixed equilibrium increases or decreases with the degree of risk aversion. We find that (at least moderate degrees of) risk aversion will frequently be beneficial in mixed equilibria.     

Utility functions of equivalent form and the effect of parameter changes on optimum decision making

We derive a class of utility functions that are equivalent with respect to a well-defined functional form. We study the case of constant relative risk aversion (of some order) to investigate on different equivalence relations in order to determine the, possibly infinite, number of equivalence classes when utility functions satisfy a specific form. Then we apply our results to standard applications in economics and finance, for example, to the effect of price volatility on optimum hedging. We would like to thank Bernhard Eckwert and Itzhak Zilcha for constructive comments and suggestions.     

From sure to strong diversification

This paper presents a characterization of weak risk aversion in terms of preference for sure diversification. Similarly, we show that strong risk aversion can be characterized by weakening preference for diversification,as introduced by Dekel (Econometrica 57:163,1989), in what we call preference for strong diversification. We are grateful to Jean-Yves Jaffray, Peter Wakker and anonymous reference for very helpful suggestions and comments.     

Status,Risk-Taking and Intertemporal Substitution in an Endogenous Growth Model

This paper examines intertemporal risk-taking in a stochastically growing economy with externalities in human capital accumulation where agents have preferences for social status. In order to isolate the effects of status concerns on long-run expected growth, the analysis is embedded in a non-expected utility setting, which disentangles the effects from risk aversion and intertemporal substitution. We examine the interaction between status desire and risk, risk aversion and intertemporal substitution. The externalities generated by the status game are able to correct the allocative distortions from the knowledge spillovers.Acknowledgement The author would like to thank an anonymous referee for his valuable comments.     

Risk and risk aversion when states of nature matter

When uncertainty is associated with some intrinsically relevant states of nature, there is no reason for an agent to base his or her preferences only on probability distribution of claims. We propose a new concept of risk for state-contingent claims that, unlike the standard concept of Rothschild–Stiglitz, does not identify state-contingent claims with their probability distribution. This concept is called mean-independent risk, and we provide a simple characterization in terms of marginal utilities of (non-expected) utility functions that exhibit aversion to mean-independent risk. We study implications of aversion to mean-independent risk on agents’ choices under uncertainty. This research has been supported by the NSF under Grant SES-0099206. I have benefited from numerous conversations with Rose-Anne Dana and illuminating discussions with Tadeusz Miłosz about the theory of subgradients.     

Risk attitudes, randomization to treatment, and self-selection into experiments

Randomization to treatment is fundamental to statistical control in the design of experiments. However randomization implies some uncertainty about treatment condition, and individuals differ in their preferences towards taking on risk. Since human subjects often volunteer for experiments or are allowed to drop out of the experiment at any time if they want to, it is possible that the sample observed in an experiment might be biased because of the risk of randomization. On the other hand, the widespread use of a guaranteed show-up fee that is non-stochastic may generate sample selection biases of the opposite direction, encouraging more risk averse samples into experiments. We directly test these hypotheses that risk attitudes play a role in sample selection. Our results suggest that randomization bias does affect the overall level of risk aversion in the sample we observe, but that it does not affect the demographic mix of risk attitudes in the sample. We show that the common use of non-stochastic show-up fees can generate samples that are more risk averse than would otherwise have been observed.     

Why uncertainty matters: discounting under intertemporal risk aversion and ambiguity

Uncertainty has an almost negligible impact on project value in the standard economic model. I show that a comprehensive evaluation of uncertainty and uncertainty attitude changes this picture fundamentally. The illustration of this result relies on the discount rate, which is the crucial determinant in balancing immediate costs against future benefits, and the single most important determinant of optimal mitigation policies in the integrated assessment of climate change. First, the paper removes an implicit assumption of (intertemporal or intrinsic) risk neutrality from the standard economic model. Second, the paper introduces aversion to non-risk uncertainty (ambiguity). I show a close formal similarity between the model of intertemporal risk aversion, which is a reformulation of the widespread Epstein–Zin–Weil model, and a recent model of smooth ambiguity aversion. I merge the models, achieving a threefold disentanglement between risk aversion, ambiguity aversion, and the propensity to smooth consumption over time.     

Risk aversion in the Eurozone

We propose a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model where a risk aversion shock enters a separable utility function. We analyze five periods from 1971 through 2011, each lasting for 20 years, to follow over time the dynamics of several parameters such as the risk aversion parameter; the Taylor rule coefficients; and the role of the risk aversion shock in output, inflation, interest rate, and real money balances in the Eurozone. Our analysis suggests that risk aversion was a more important component of output and real money balance dynamics between 2006 and 2011 than it was between 1971 and 2006, at least in the short run.     

Background risk in generalized expected utility theory

Summary. In this paper, it is shown that, for a wide range of risk-averse generalized expected utility preferences, independent risks are complementary, contrary to the results for expected utility preferences satisfying conditions such as proper and standard risk aversion. Received: August 10, 2001; revised version: June 18, 2002 RID="*" ID="*"I thank Simon Grant and an anonymous referee for helpful comments and criticism. This research was supported by an Australian Research Council Senior Fellowship and Australian Research Council Large Grant A79800678.     

Real estate and relative risk aversion with generalized recursive preferences

This paper investigates how real estate wealth affects the household’s attitude toward risk, and derives the closed-form expressions for risk aversion with generalized recursive preferences. We find three channels through which real estate wealth affects risk aversion, and these channels are absent in the traditional measure of relative risk aversion as in Arrow (1965) and Pratt (1964). First, illiquidity and fluctuations in real estate value increase consumption risk, thereby increasing risk aversion. Second, real estate as an asset provides a cushion for absorbing negative shocks to households, reducing risk aversion. Third, an increase in real estate prices lowers the profit of the firm that uses real estate as a factor of production, induces a decline in the real wage, and causes a rise in consumption risk. This channel increases risk aversion. We study how these channels as a whole determine relative risk aversion using a basic real business cycle model with generalized recursive preferences and compare the results with the case of expected utility preferences. Finally, we explore the implications of the firm’s and the household’s real estate holdings and illiquidity of real estate on the risk premiums for equity and real estate.