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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.

Suggested Citation

  • Issler, João Victor & Piqueira, Natália Scotto, 2000. "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)," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 387, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  • Handle: RePEc:fgv:epgewp:387
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    Cited by:

    1. Kihlstrom, Richard, 2000. "Monopoly power in dynamic securities markets," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 428, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).

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