{
  "title": "Agents’ Preferences, the Equity Premium, and the Consumption-Saving Trade-Off: An Application to French Data",
  "publication": "IMF Working Papers, August 1, 2001",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/30/agents-preferences-the-equity-premium-and-the-consumption-saving-trade-off-an-application-to-15273",
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  "summary": "This paper aims to measure the risk premium on French equities during 1960-92 and to evaluate how well theoretical models based on various representations of agents' preferences can explain it.",
  "sections": [
    {
      "heading": "Authors and publication",
      "content": "- By Aude Pommeret, Anne Epaulard\n- August 1, 2001\n- IMF Working Papers, Working Paper No. 2001/117, Issue: 117, Volume: 2001\n- Pages: 36\n- DOI: https://doi.org/10.5089/9781451854015.001\n- Stock No: WPIEA1172001\n- ISBN: 9781451854015\n- ISSN: 1018-5941"
    },
    {
      "heading": "Research objective and data",
      "content": "- Aim: Measure the risk premium on French equities during 1960-92 and evaluate how well theoretical models based on various representations of agents' preferences can explain it.\n- Time span analyzed: 1960-92"
    },
    {
      "heading": "Models and utility specifications evaluated",
      "content": "- Standard, time-additive utility function with constant relative risk aversion\n- Recursive utility function\n- Habit formation utility function\n- Utility function that accounts for the interdependence of preferences"
    },
    {
      "heading": "Methods",
      "content": "- Calibration\n- Econometric estimations\n- Focus on agents' preferences as they relate to the equity premium and the consumption-saving trade-off (including Euler equation/consumption-saving trade-off equation considerations)"
    },
    {
      "heading": "Key findings",
      "content": "- Both calibration and econometric estimations show:\n  - None of the studied marginal changes in the representation of agents' preferences are sufficient to solve both the equity premium puzzle and the risk-free rate puzzle.\n- Primary puzzles addressed:\n  - Equity premium puzzle\n  - Risk-free rate puzzle"
    },
    {
      "heading": "Subject areas and keywords",
      "content": "- Subject: Consumption, Econometric analysis, Estimation techniques, Financial institutions, National accounts, Stocks, Tax allowances, Taxes, Treasury bills and bonds\n- Keywords: Consumption, consumption-risk aversion, consumption-saving trade-off equation, econometric estimation, equity premium, Equity premium puzzle, Estimation techniques, Euler equation, growth rate, rate of return, risk-free rate puzzle, Stocks, Tax allowances, Treasury bills and bonds, utility function, WP\n\nSource: IMF Working Paper \"Agents’ Preferences, the Equity Premium, and the Consumption-Saving Trade-Off: An Application to French Data\" by Aude Pommeret and Anne Epaulard (August 1, 2001).\n\n---\n\n Content in this bundle\n\n- wp01117\n  - wp01117 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - wp01117 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/30/agents-preferences-the-equity-premium-and-the-consumption-saving-trade-off-an-application-to-15273"
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    "Authors: Aude Pommeret, Anne Epaulard",
    "Published: August 1, 2001",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451854015.001",
    "By Aude Pommeret, Anne Epaulard",
    "August 1, 2001",
    "IMF Working Papers, Working Paper No. 2001/117, Issue: 117, Volume: 2001",
    "Pages: 36",
    "DOI: https://doi.org/10.5089/9781451854015.001",
    "Stock No: WPIEA1172001",
    "ISBN: 9781451854015",
    "ISSN: 1018-5941",
    "Aim: Measure the risk premium on French equities during 1960-92 and evaluate how well theoretical models based on various representations of agents' preferences can explain it.",
    "Time span analyzed: 1960-92",
    "Standard, time-additive utility function with constant relative risk aversion",
    "Recursive utility function",
    "Habit formation utility function",
    "Utility function that accounts for the interdependence of preferences",
    "Calibration",
    "Econometric estimations",
    "Focus on agents' preferences as they relate to the equity premium and the consumption-saving trade-off (including Euler equation/consumption-saving trade-off equation considerations)",
    "Both calibration and econometric estimations show:",
    "Primary puzzles addressed:",
    "Subject: Consumption, Econometric analysis, Estimation techniques, Financial institutions, National accounts, Stocks, Tax allowances, Taxes, Treasury bills and bonds",
    "Keywords: Consumption, consumption-risk aversion, consumption-saving trade-off equation, econometric estimation, equity premium, Equity premium puzzle, Estimation techniques, Euler equation, growth rate, rate of return, risk-free rate puzzle, Stocks, Tax allowances, Treasury bills and bonds, utility function, WP",
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