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Aversion au risque et prudence : le cas d'un risque de taux d'intérêt

Author

Listed:
  • Éric Langlais

    (EconomiX - EconomiX - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

Résumé Cet article analyse le motif d'épargne de précaution en présence d'un risque de taux d'intérêt, de façon à compléter les résultats de Kimball [1990] dans le cas du risque de revenu. En statique comparative, la condition sur la courbure de l'utilité marginale de la consommation n'est même plus suffisante pour déterminer le sens de l'ajustement de l'épargne avec le risque de taux d'intérêt, alors qu'elle est nécessaire et suffisante pour un risque de revenu. Nous proposons alors une généralisation du concept de prudence de Kimball, et définissons la prime de pru­dence pour risque de taux d'intérêt.

Suggested Citation

  • Éric Langlais, 1995. "Aversion au risque et prudence : le cas d'un risque de taux d'intérêt," Post-Print hal-05511022, HAL.
    • Handle: RePEc:hal:journl:hal-05511022
    DOI: 10.3917/reco.p1995.46n4.1099
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