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The marginal propensity to consume and multidimensional risk

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Date
2013
Link to item file
https://halshs.archives-ouvertes.fr/halshs-00927262
Dewey
Economie financière
Sujet
Marginal propensity to consume; Multivariate risk; Prudence
JEL code
D81; D91; E21
Journal issue
Economics Letters
Volume
119
Number
2
Publication date
2013
Article pages
124-127
Publisher
Elsevier
DOI
http://dx.doi.org/10.1016/j.econlet.2013.02.002
URI
https://basepub.dauphine.fr/handle/123456789/11428
Collections
  • CEREMADE : Publications
Metadata
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Author
Jouini, Elyès
Napp, Clotilde
Nocetti, Diego
Type
Article accepté pour publication ou publié
Abstract (EN)
Kimball, 1990a and Kimball, 1990b established that income risk increases the marginal propensity to consume if and only if absolute prudence decreases. We characterize decreasing and increasing multivariate prudence and show that a multidimensional risk increases the marginal propensity to consume if and only if absolute prudence decreases with wealth, in the sense that its derivative is negative-definite.

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