이질적 위험회피도 하에서의 소비위험분산 가설 검정

초록

The theory of consumption risk-sharing claims that consumption change is independent of income change. However, most empirical studies show that consumption risk-sharing does not hold in the real economy. Unlike previous studies assuming homogeneous risk-aversion, some recent papers suggest that heterogeneous risk-aversion should be considered in testing the hypothesis of consumption risk-sharing. Using Korean data, we test both consumption risk-sharing and risk-aversion heterogeneity within a unified regression model. We find that the hypothesis for consumption risk-sharing is not rejected under heterogeneous risk-aversion, and the risk-sharing hypothesis is rejected for some instances but not rejected in others under homogeneous risk-aversion.

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