Precautionary Saving: An Explanation for Excess Sensitivity of Consumption
用预防性储蓄解释消费对预期收入的过度敏感性，分析双曲线绝对风险厌恶效用函数，发现合理参数设定能匹配数据中的过度敏感性和过度平滑性，但两者并非同一现象。
The permanent income hypothesis under certainty equivalence yields a martingale consumption process. Empirically, this hypothesis is rejected because consumption is excessively sensitive to anticipated income. One approach to account for excess sensitivity is to relax certainty equivalence by using utility functions which induce precautionary saving. This paper analyzes a hyperbolic absolute risk avesion utility function. Empirically, some reasonable parametrizations of this specification allow one to match the excess sensitivity associated with the data. Also, these parametrizations permit one to account for the excess smoothness problem. However, it is shown that excess sensitivity and excess smoothness do not reflect the same phenomenon. L'hypothese de revenu permanent en equivalence certaine implique que la consommation est une martingale. Empiriquement, cette hypothese est rejetee parce que la consommation est excessivement sensible au revenu anticipe. Une strategie visant a expliquer la sensibilite excessive consiste a relâcher la propriete d'equivalence certaine afin de considerer l'epargne de precaution. Ce papier analyse l'epargne de precaution decoulant d'une fonction d'utilite dont l'aversion absolue au risque est hyperbolique. Empiriquement, certaines specifications de cette fonction permettent de repliquer la sensibilite excessive observee. Aussi, ces specifications expliquent le lissage excessif. Toutefois, la sensibilite excessive et le lissage excessif ne refletent pas le meme phenomene.