Stochastic impatience and the separation of time and risk preferences
研究随机不耐烦属性如何关联时间与风险偏好的分离，发现风险厌恶与跨期替代弹性倒数接近时该属性成立，并提供了简单的一问测试。
We study how the separation of time and risk preferences relates to a property called stochastic impatience. We show that, within a broad class of models, stochastic impatience holds if and only if risk aversion and the inverse elasticity of intertemporal substitution are sufficiently close. In the models of Epstein and Zin (1989) and Hansen and Sargent (1995), stochastic impatience is violated for all commonly used parameters. Our result also provides a simple, one‐question test for the separation of time and risk preferences.