Heterogeneity in risk aversion and risk sharing regressions
研究发现，若未恰当考虑风险态度的异质性，标准消费保险回归中的收入系数会产生方向不确定的偏误，该偏误取决于周期相关变量以及总体和个体风险与风险厌恶的协方差。
Summary Heterogeneity in risk attitudes, if not properly accounted for, may induce a bias on the income coefficient of standard consumption insurance regressions. We show that, extending the theoretical analysis and empirical findings in Schulhofer‐Wohl ( Journal of Political Economy , 2011, 119 , 925–958), the sign of the bias is ambiguous, and depends on cycle‐related variables and on the covariances of both aggregate and idiosyncratic risk with individual risk aversion.