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讲座预告 | Market volatility, Portfolio Savings, and Health Investment

发布时间:2019-10-11    来源:

讲座时间:20191018号(周五) 10:00-12:00






Professor of National University of Singapore




We investigate how market volatility, driven by random total factor productivity, affects savings and health spending in a life-cycle model and in cross-country data. By a mean-variance approximation of expected utility, we show that the effects of market volatility depend on risk attitudes and volatility elasticities of expected investment returns. When expected returns are increasing with volatility, growing volatility generates substitution and income effects. Given the well-known inverse relationship between intertemporal substitution and relative risk aversion, the effects of volatility may vary substantially between cases with elastic and inelastic expected returns or with strong and week risk aversion. From our estimation, stock market volatility is positively associated with stock returns and savings rates in developing countries, whereas it is insignificantly associated with stock returns and negatively with saving rates in developed countries. We also analyze and estimate the effects on health spending and growth rates.

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