時間選好率과 危險回避係數 推定

Estimation of the Time Preference Rate and the Risk Aversion Coefficient Utilizing Generalized Method of Moments-Implications of the National Pension Scheme

The Generalized Method of Moments(GMM) is an effective estimation method because it provides parameter estimates, which have the properties of consistent estimators, without utilizing probability distribution information. The risk aversion coefficient, derived from the GMM estimation method, allows us to observe changes in consumption resulting from relative price changes during two different periods. In other words, this indicator shows the magnitude of change in consumption and savings resulting from changes in savings incentives. This paper estimated the risk aversion coefficient and time preference rate of the Korean consumers using quarterly data on the rate of return of corporate bonds from the first quarter in 1981 to the fourth quarter of 1997. The risk aversion coefficient for the economically active population is 0.497 and for the total population is 0.496. This is a smaller number than the risk aversion coefficient of 2 which is often used in inter-generational welfare analysis of the National Pension Scheme. A smaller risk aversion coefficient results in less distortion of capital accumulation and labor supply behavior. Therefore, this paper shows that the worsening of inter-generational and intra-generational welfare, predicted in previous papers, resulting from intro-duction of the National Pension Scheme. is exaggerated.