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Pierfederico Asdrubali
;
Simone Tedeschi
;
Luigi Ventura

heterogeneity in risk aversion and risk sharing regressions (replication data)

Heterogeneity in risk attitudes, if not properly accounted for, may induce a bias on the income coefficient of standard consumption insurance regressions. We show that, extending the theoretical analysis and empirical findings in Schulhofer-Wohl (Journal of Political Economy, 2011, 119, 925-958), the sign of the bias is ambiguous, and depends on cycle-related variables and on the covariances of both aggregate and idiosyncratic risk with individual risk aversion.

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Asdrubali, Pierfederico; Tedeschi, Simone; Ventura, Luigi (2019): Heterogeneity in risk aversion and risk sharing regressions (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022327.0709336776

Related Publication

Asdrubali, P., Tedeschi, S. and Ventura, L. (2019), Heterogeneity In Risk Aversion And Risk Sharing Regressions, Journal of Applied Econometrics, 34(5), 827-835. https://doi.org/10.1002/jae.2686