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Estimando a Aversão ao Risco, a Taxa de Desconto Intertemporal, e a Substutibilidade Intertemporal do Consumo no Brasil usando Três tipos de Função Utilidade (Versão Preliminar)

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  • Issler, João Victor
  • Piqueira, Natália Scotto

Abstract

Este trabalho estima, usando o método generalizado dos momentos e dados brasileiros, os parâmetros estruturais do modelo CCAPM (consumption capital asset pricing model) a partir de três classes de funções utilidade distintas: função utilidade potência (CES/CRRA), utilidade com hábito externo, e aversão ao desapontamento (Kreps-Porteus). Estes parâmetros estruturais estão associados à aversão ao risco, à elasticidade de substituição intertemporal no consumo e a taxa de desconto intertemporal da utilidade futura, o foco central desse artigo. Os resultados aqui obtidos são analisados e comparados com resultados anteriores para dados brasileiros e americanos.

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Bibliographic Info

Paper provided by FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its series Economics Working Papers (Ensaios Economicos da EPGE) with number 387.

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Date of creation: Jun 2000
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Handle: RePEc:fgv:epgewp:387

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  1. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
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  3. Francis X. Diebold & Lee E. Ohanian & Jeremy Berkowitz, 1998. "Dynamic equilibrium economies: a framework for comparing models and data," Staff Report 243, Federal Reserve Bank of Minneapolis.
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  6. Reis, Eustáquio José & Blanco, Fernando & Issler, João Victor & Carvalho, Leonardo de, 1998. "Renda Permanente e Poupança Precaucional: Evidências Empíricas Para o Brasil no Passado Recente (Versão Revisada)," Economics Working Papers (Ensaios Economicos da EPGE) 338, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
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