Precautionary saving with changing income ambiguity

Atsushi Kajii and Jingyi Xue
Additional contact information
Jingyi Xue: Singapore Management University

No 940, KIER Working Papers from Kyoto University, Institute of Economic Research

Abstract: We study a two-period saving model where the agent's future income might be ambiguous. Our agent has a version of the smooth ambiguity decision criterion (Klibanoff, Marinacci and Mukerji (2005)), where the agent's perception about ambiguity is described by a second-order belief over first-order risks. We model increasing ambiguity as a spreading-out of the second-order belief. We show that under a "Risk Comonotonicity" condition, our agent saves more when ambiguity in future income increases. We argue that the condition is indispensable for our result.

JEL-codes: D80 D81 D91 E21 (search for similar items in EconPapers)
Pages: 10pages
Date: 2016-05
New Economics Papers: this item is included in nep-mac, nep-mic, nep-sea and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.kier.kyoto-u.ac.jp/DP/DP940.pdf (application/pdf)

Related works:
Working Paper: Precautionary Saving with Changing Income Ambiguity (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kyo:wpaper:940

Access Statistics for this paper

More papers in KIER Working Papers from Kyoto University, Institute of Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Makoto Watanabe ().