Kimball Miles S, Sahm Claudia R, Shapiro Matthew D
Miles S. Kimball and Matthew D. Shapiro are Professors, Department of Economics, and Research Professors, Survey Research Center, University of Michigan, Ann Arbor, MI 48109, and Research Associates, National Bureau of Economic Research, Cambridge, MA 02138. Claudia R. Sahm is Economist, Division of Research and Statistics, Federal Reserve Board, Washington, DC 20551.
J Am Stat Assoc. 2008 Sep 1;103(483):1028-1038. doi: 10.1198/016214508000000139.
Economic theory assigns a central role to risk preferences. This article develops a measure of relative risk tolerance using responses to hypothetical income gambles in the Health and Retirement Study. In contrast to most survey measures that produce an ordinal metric, this article shows how to construct a cardinal proxy for the risk tolerance of each survey respondent. The article also shows how to account for measurement error in estimating this proxy and how to obtain consistent regression estimates despite the measurement error. The risk tolerance proxy is shown to explain differences in asset allocation across households.
经济理论赋予风险偏好核心地位。本文利用《健康与退休研究》中对假设性收入赌博的回答，开发了一种相对风险承受能力的度量方法。与大多数产生序数度量的调查方法不同，本文展示了如何为每个调查受访者的风险承受能力构建一个基数代理指标。本文还展示了在估计这个代理指标时如何考虑测量误差，以及如何在存在测量误差的情况下获得一致的回归估计。结果表明，风险承受能力代理指标能够解释家庭资产配置的差异。
