A Closed-form Solution for a Model of Precautionary Saving

S-Tier
Journal: Review of Economic Studies
Year: 1993
Volume: 60
Issue: 2
Pages: 385-395

Score contribution per author:

8.043 = (α=2.01 / 1 authors) × 4.0x S-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper analyses life-cycle consumption plans and distinguishes between temporal risk aversion and intertemporal substitution. The results assume that felicity functions are quadratic and that income follows a linear model with normally distributed errors. Stochastic dynamic programming then yields closed-loop linear decision rules. Certainty equivalence no longer holds, but instead households play a min-max strategy against nature. One finds a rationale for precautionary saving and a larger sensitivity of changes in consumption to income innovations.

Technical Details

RePEc Handle
repec:oup:restud:v:60:y:1993:i:2:p:385-395.
Journal Field
General
Author Count
1
Added to Database
2026-01-29