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Aversions to Impatience, Uncertainty and Illiquidity

Author

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  • Marie Allard
  • Camille Bronsard
  • Christian Gouriéroux

Abstract

Edmond Malinvaud has not only fixed the French terminology in Econometrics, Microeconomics, but he has also derived scientific results of prime interest concerning the intertemporal equilibrium or the synthesis between the Walrasian microeconomics and the Keynesian macroeconomics. Malinvaud has also opened new research directions, which are often less known. One of these directions is developed in this paper. Due to their underlying assumptions, the standard concepts of risk aversion and impatience are generally defined separately and represented by scalar measures. This implies many shortcomings, for instance, the risk aversion remain unchanged, whatever type of risk is considered. This paper provides a more complete analysis of aversions, which clearly emphasizes their multidimensionality and the necessity for the measures of risk aversion and impatience aversion to be defined jointly.

Suggested Citation

  • Marie Allard & Camille Bronsard & Christian Gouriéroux, 2017. "Aversions to Impatience, Uncertainty and Illiquidity," Annals of Economics and Statistics, GENES, issue 125-126, pages 9-39.
  • Handle: RePEc:adr:anecst:y:2017:i:125-126:p:9-39
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    File URL: http://www.jstor.org/stable/10.15609/annaeconstat2009.125-126.0009
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    More about this item

    Keywords

    Risk Aversion; Aversion to Impatience; Illiquidity; Disutility Premium; Antonelli Matrix; Substituability; Dreze-Modigliani Decomposition; Incomplete Markets;

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions

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