各種論文の書誌情報とabstract*

  1. Is Consumption Growth Consistent with Intertemporal Optimization? Evidence from the Consumer Expenditure Survey*

* Author(s): Orazio P. Attanasio and Guglielmo Weber
* Source: The Journal of Political Economy, Vol. 103, No. 6 (Dec., 1995), pp. 1121-1157
* Publisher: The University of Chicago Press
* Stable URL: http://www.jstor.org/stable/2138706

Abstract
In this paper we show that some of the predictions of models of consumer intertemporal optimization are in line with the patterns of nondurable expenditure observed in U.S. household-level data. We propose a flexible specification of preferences that allows multiple commodities and yields empirically tractable equations. We estimate preference parameters using the only U.S. micro data set with complete consumption information. We show that previous rejections can be explained by the simplifying assumptions made in previous studies. We also show that results obtained using good consumption or aggregate data can be misleading.

  1. Mortality Risk and Bequests*

* Author(s): Michael D. Hurd
* Source: Econometrica, Vol. 57, No. 4 (Jul., 1989), pp. 779-813
* Publisher: The Econometric Society
* Stable URL: http://www.jstor.org/stable/1913772

Abstract
I analyze and estimate an extended life cycle model of consumption in which utility depends on the path of consumption and bequests. The theoretical section gives conditions under which consumption and wealth will decline with age. An important determinant is a boundary condition on the consumption path caused by annuities. Using panel data from the Retirement History Survey on the wealth of the retired elderly, I estimate the parameters of the model, which are the degree of mortality risk aversion, the subjective time rate of discount, and the marginal utility of bequests. The estimation method involves solving for the optimal consumption trajectory from the first-order conditions of the dynamic optimization, and from the boundary conditions. The results indicate that the consumption path is sensitive to variations in mortality rates, meaning that mortality risk aversion is moderate, and certainly much smaller than what is typically assumed in the literature. The marginal utility of bequests is small; therefore, desired bequests, which are estimated from model simulations, are small on average. Apparently most bequests are accidental, the result of uncertainty about the date of death. The parameter estimates imply that although consumption and wealth paths may rise at early ages, eventually they will fall as mortality rates become large. Falling wealth with age is confirmed in the raw data: average wealth holdings of the elderly decline with age, and the majority of individuals dissave as they age.
Your access to JSTOR provided by
University of Tokyo

  1. Consumption over the Life Cycle*

* Author(s): Pierre-Olivier Gourinchas and Jonathan A. Parker
* Source: Econometrica, Vol. 70, No. 1 (Jan., 2002), pp. 47-89
* Publisher: The Econometric Society
* Stable URL: http://www.jstor.org/stable/2692163

Abstract
This paper estimates a structural model of optimal life-cycle consumption expenditures in the presence of realistic labor income uncertainty. We employ synthetic cohort techniques and Consumer Expenditure Survey data to construct average age-profiles of consumption and income over the working lives of typical households across different education and occupation groups. The model fits the profiles quite well. In addition to providing reasonable estimates of the discount rate and risk aversion, we find that consumer behavior changes strikingly over the life cycle. Young consumers behave as buffer-stock agents. Around age 40, the typical household starts accumulating liquid assets for retirement and its behavior mimics more closely that of a certainty equivalent consumer. Our methodology provides a natural decomposition of saving and wealth into its precautionary and life-cycle components.

  1. Life-Cycle and Altruistic Theories of Saving with Lifetime Uncertainty*

* Author(s): Michael Kuehlwein
* Source: The Review of Economics and Statistics, Vol. 75, No. 1 (Feb., 1993), pp. 38-47
* Publisher: The MIT Press
* Stable URL: http://www.jstor.org/stable/2109624

Abstract
This paper examines testable implications of the life-cycle theory of saving with lifetime uncertainty. Theory suggests that persons facing lower mortality rates should exhibit greater consumption growth. Nonparametric tests, using the Retirement History Survey, provide mixed support for the theory. A parameterized model allowing for altruism provides more support. Estimates of a bequest parameter indicate that elderly households value contributions to bequests as highly as contributions to their own consumption. This is equally true for households with and without children. Such a bequest motive would curtail the impact of lifetime uncertainty on consumption growth.

  1. Uncertain Medical Expenses and Precautionary Saving Near the End of the Life Cycle*

* Author(s): Michael G. Palumbo
* Source: The Review of Economic Studies, Vol. 66, No. 2 (Apr., 1999), pp. 395-421
* Publisher: The Review of Economic Studies Ltd.
* Stable URL: http://www.jstor.org/stable/2566996

Abstract
This paper introduces a dynamic, structural model of household consumption decisions in which elderly families consider the effects of uncertain future medical expenses when deciding current levels of consumption. The model with uncertain medical expenses implies a potentially important role for precautionary saving incentives to explain slow rates of dissaving among elderly Americans during retirement. Rather than just simulating the stochastic dynamic model, preference parameters are estimated using panel data on health, wealth and expenditures for retired families. The health uncertainty model predicts consumption levels closer to observed expenditures than a life cycle model with uncertain longevity. However, elderly families typically dissave their financial assets more slowly than even the baseline health uncertainty model predicts is optimal.
不確実な健康状態が効用関数の形にどういう影響を与えているのか、というところだけでもわかればなんとなくましだ。
Φ^2とかいう謎の記号が出てきて意味不明だ。優位水準ってわけでもないだろうし。なんじゃこりゃ。

  • Savings of the Elderly and Desired Bequests*

* Author(s): Michael D. Hurd
* Source: The American Economic Review, Vol. 77, No. 3 (Jun., 1987), pp. 298-312
* Publisher: American Economic Association
* Stable URL: http://www.jstor.org/stable/1804096

Abstract
Cross-section data often show that the wealth of the elderly increases with age, suggesting that the life cycle hypothesis of consumption should include a bequest motive for saving. I propose a model of bequests, and a test for a bequest motive. Empirical findings are that in a ten-year panel data set, the elderly dissaved, in contradiction to most cross-section results. The test offers no support for a bequest motive.

  • Uncertain Health and Survival: Effects on End-of-Life Consumption*

これはJSTORではDLできなかったやつだが、古典っぽい。
This paper analyzes the impact of health and survival uncertainty on the saving and consumption decisions of retirees. A dynamic programming approach is used to model the household's planning problem. The utility parameters are estimated using panel data. The authors find that a fall into poor health raises the marginal utility from consumption. Simulations are used to indicate the effects of falling into poor health and loss of spouse. They reveal a large transfer from the health to the sick partner and a strong dependence of saving on the survivor benefits, suggesting that concern about the surviving spouse is an important motive for saving.

結論はかなり邪悪:

  • 伴侶に先立たれると消費の限界効用が高まる
  • 健康状態がよくないことは、消費の限界効用を高める
  • Differential Mortality, Uncertain Medical Expenses, and the Saving of Elderly Singles*

People have heterogenous life expectancies: women live longer than men, rich people live longer than poor people, and healthy people live longer than sick people. People are also subject to heterogenous out-of-pocket medical expense risk. We construct a rich structural model of saving behavior for retired single households that accounts for this heterogeneity, and we estimate the model using AHEAD data and the method of simulated moments. We find that the risk of living long and facing high medical expenses goes a long way toward explaining the elderly's savings decisions. Specifically, medical expenses that rise quickly with both age and permanent income can explain why the elderly singles, and especially the richest ones, run down their assets so slowly. We also find that social insurance has a big impact on the elderly's savings.