Murat TAŞDEMİR

Risk altında zamanlararası tercihler: Alternatif bir fayda fonksiyonu

Dinamik stokastik genel denge modellerinde tercihlerin belirlenmesi için geleneksel olarak kullanılan fayda fonksiyonunun önemli dezavantajları söz konusudur. Beklenen Fayda temelli geleneksel fayda fonksiyonu zamanlararası ikame esnekliği katsayısını, riskten kaçınma katsayısının tersi olacak şekilde kısıtlamaktadır. Bu çalışma Beklenen Fayda temelli fayda fonksiyonu ile ilgili sorunları değerlendirerek, Epstein ve Zin (1989;1991) tarafından geliştirilen alternatif fayda fonksiyonunun avantajlarını ele almaktadır. Bu alternatif fayda fonksiyonunun en önemli avantajı zamanlararası ikame esnekliği katsayısı ve riskten kaçınma katsayısı arasındaki ilişkiyi kaldırmasıdır.

İntrtemporal preferences under risk: An alternative utulity function

The utility function traditionally used for the specification of the preferences in dynamic stochastic general equilibrium models has important drawbacks. Expected Utility based traditional utility function restricts that the coefficient of elasticity of intertemporal substitution to be the inverse of the coefficient of relative risk aversion. This study reviews the problems with the Expected Utility based model, and considers the advantages of the alternative utility function developed by Epstein and Zin (1989;1991). The main advantage of this alternative is that it brakes the link between the coefficient of intertemporal elasticity of substitution and the coefficient of relative risk aversion.

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