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East Carolina University经济系刘轩副教授讲座通知

发布时间: 2019/04/30 14:37:46     点击次数:次   打印本页

报告题目:GHH Preferences on Households' Portfolio Choices: Theoretical Implications and Empirical Evidence

报告人:刘轩(Xuan Liu)

时间地点:5月6日10:00-11:30,新主楼A928

论文摘要:This paper explores theoretical implications and empirical evidence of GHH preferences [Greenwood et al. (1988)] over portfolio choices. First, we analytically solve a parsimonious life-cycle portfolio choice model with the GHH preferences and endogenous labor-leisure choice and obtain a closed-form solution. Second, our analytical solution identifies four effects due to the GHH preferences (through endogenous labor-leisure choices) on risky shares; and it shows that two net effects hinge on the value of one key structural parameter. Third, we empirically test main theoretical predictions with the Panel Study of Income Dynamics data. Overall, the estimation results provide empirical evidence in support of GHH preferences. Thus, our analysis provides a definitive answer to one of the most fundamental, yet highly contentious, questions in quantitative macroeconomic analysis: the choice of utility functions in a representative agent model.

刘轩,杜克大学经济学博士,现为East Carolina University经济系副教授。刘轩博士主要研究方向为资产定价、DSGE等,相关研究成果发表于Journal of Economic Dynamics and Control、Journal of Money, Credit, and Banking等国际一流经济学期刊。