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Precautionary saving in the presence of labor income and interest rate risks

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  • Jingyuan Li

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  • Jingyuan Li, 2012. "Precautionary saving in the presence of labor income and interest rate risks," Journal of Economics, Springer, vol. 106(3), pages 251-266, July.
  • Handle: RePEc:kap:jeczfn:v:106:y:2012:i:3:p:251-266 DOI: 10.1007/s00712-011-0244-6
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    References listed on IDEAS

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    1. Thomas Eichner & Andreas Wagener, 2004. "Relative risk aversion, relative prudence and comparative statics under uncertainty: The case of (μ, σ)-preferences," Bulletin of Economic Research, Wiley Blackwell, vol. 56(2), pages 159-170, April.
    2. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    3. Mario Menegatti, 2009. "Optimal saving in the presence of two risks," Journal of Economics, Springer, vol. 96(3), pages 277-288, April.
    4. Wenan Fei & Harris Schlesinger, 2008. "Precautionary Insurance Demand With State-Dependent Background Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(1), pages 1-16.
    5. Eeckhoudt, Louis & Schlesinger, Harris, 2008. "Changes in risk and the demand for saving," Journal of Monetary Economics, Elsevier, pages 1329-1336.
    6. Cary Deck & Harris Schlesinger, 2010. "Exploring Higher Order Risk Effects," Review of Economic Studies, Oxford University Press, vol. 77(4), pages 1403-1420.
    7. Christophe Courbage & Béatrice Rey, 2007. "Precautionary saving in the presence of other risks," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), pages 417-424.
    8. Michel Denuit & Louis Eeckhoudt & Mario Menegatti, 2011. "Correlated risks, bivariate utility and optimal choices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), pages 39-54.
    9. Louis Eeckhoudt & Béatrice Rey & Harris Schlesinger, 2007. "A Good Sign for Multivariate Risk Taking," Management Science, INFORMS, pages 117-124.
    10. Louis Eeckhoudt & Harris Schlesinger, 2006. "Putting Risk in Its Proper Place," American Economic Review, American Economic Association, pages 280-289.
    11. Michel Denuit & Louis Eeckhoudt & Mario Menegatti, 2011. "Correlated risks, bivariate utility and optimal choices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), pages 39-54.
    12. Eeckhoudt, Louis & Etner, Johanna & Schroyen, Fred, 2009. "The values of relative risk aversion and prudence: A context-free interpretation," Mathematical Social Sciences, Elsevier, pages 1-7.
    13. Wang, Jianli & Li, Jingyuan, 2010. "Multiplicative risk apportionment," Mathematical Social Sciences, Elsevier, vol. 60(1), pages 79-81, July.
    14. repec:cor:louvrp:-2162 is not listed on IDEAS
    15. Levy, Haim & Paroush, Jacob, 1974. "Toward multivariate efficiency criteria," Journal of Economic Theory, Elsevier, vol. 7(2), pages 129-142, February.
    16. White, Lucy, 2008. "Prudence in bargaining: The effect of uncertainty on bargaining outcomes," Games and Economic Behavior, Elsevier, vol. 62(1), pages 211-231, January.
    17. Kais Dachraoui & Georges Dionne, 2007. "Conditions Ensuring the Decomposition of Asset Demand for All Risk-Averse Investors," The European Journal of Finance, Taylor & Francis Journals, pages 397-404.
    18. Dionne, G. & Eeckhoudt, L. & Briys, E., 1989. "Proportional Risk Aversion And Saving Decisions Under Uncertainty," Cahiers de recherche 8901, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    19. A. Sandmo, 1970. "The Effect of Uncertainty on Saving Decisions," Review of Economic Studies, Oxford University Press, vol. 37(3), pages 353-360.
    20. Franco Pellerey & Patrizia Semeraro, 2005. "A Note on the Portfolio Selection Problem," Theory and Decision, Springer, pages 295-306.
    21. Dreze, Jacques H. & Modigliani, Franco, 1972. "Consumption decisions under uncertainty," Journal of Economic Theory, Elsevier, pages 308-335.
    22. repec:cor:louvrp:-2431 is not listed on IDEAS
    23. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
    24. L. Eeckhoudt & C. Gollier & H. Schlesinger, 2005. "Economic and financial decisions under risk," Post-Print hal-00325882, HAL.
    25. F. H. Hahn, 1970. "Savings and Uncertainty," Review of Economic Studies, Oxford University Press, vol. 37(1), pages 21-24.
    26. Leigh Tesfatsion, 1976. "Stochastic Dominance and the Maximization of Expected Utility," Review of Economic Studies, Oxford University Press, vol. 43(2), pages 301-315.
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    Citations

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    Cited by:

    1. Maik Heinemann & Alexander Wulff, 2015. "Idiosyncratic Risk, Borrowing Constraints and Financial Integration - A Discussion of Ambiguous Results," Working Papers 2015019, Berlin Doctoral Program in Economics and Management Science (BDPEMS).
    2. Christoph Heinzel, 2014. "Term structure of discount rates under multivariate s-ordered consumption growth," Working Papers SMART - LERECO 14-01, INRA UMR SMART-LERECO.
    3. Donatella Baiardi & Marco Magnani & Mario Menegatti, 2014. "Precautionary saving under many risks," Journal of Economics, Springer, vol. 113(3), pages 211-228, November.
    4. Marco Magnani & Mario Menegatti, 2015. "Precautionary saving and changes in risk correlation," Economics Bulletin, AccessEcon, vol. 35(1), pages 561-570.
    5. Marco Magnani, 2017. "A new interpretation of the condition for precautionary saving in the presence of an interest-rate risk," Journal of Economics, Springer, pages 79-87.
    6. Baiardi, Donatella & De Donno, Marzia & Magnani, Marco & Menegatti, Mario, 2015. "New results on precautionary saving under two risks," Economics Letters, Elsevier, vol. 130(C), pages 17-20.
    7. Wulff, Alexander & Heinemann, Maik, 2015. "Idiosyncratic Risk, Borrowing Constraints and Financial Integration - A Discussion of Ambiguous Results," Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113165, Verein für Socialpolitik / German Economic Association.

    More about this item

    Keywords

    Precautionary saving; Labor-income risk; Interest-rate risk; Partial relative prudence; D81; E21; D11;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory

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