The Cross-Section of Household Preferences
Laurent Calvet,
John Campbell,
Francisco Gomes and
Paolo Sodini
No 28788, NBER Working Papers from National Bureau of Economic Research, Inc
Abstract:
This paper estimates the cross-sectional distribution of Epstein-Zin preferences using the wealth and risky portfolio shares of a large panel of Swedish households. We find heterogeneous risk aversion (a standard deviation of 1.06 with a mean/median of 7.57/7.50), time preference rate (standard deviation 6.96% with a mean/median of 5.21/3.15%) and elasticity of intertemporal substitution (standard deviation 0.90 with a mean/median of 0.96/0.50). Risk aversion and the EIS are only very weakly negatively correlated. We estimate lower risk aversion for households with riskier labor income, and a higher TPR and lower EIS for households who enter our sample with low wealth.
JEL-codes: E21 G51 (search for similar items in EconPapers)
Date: 2021-05
New Economics Papers: this item is included in nep-cwa, nep-mac and nep-upt
Note: AP
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Citations: View citations in EconPapers (21)
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Working Paper: The Cross-Section of Household Preferences (2021) 
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