【主题】S-Shaped Consumption Utility: Empirical Evidence and Implications
【摘要】 We find that common macro factors generate a “big bang/crunch” effect on micro consumption. Generally speaking, when the aggregate effect of changes in common factors on consumption at low consumption-growth states is negative (resp. positive), the effect at high consumption-growth states is positive (resp. negative). The “big bang/crunch” suggests that consumption utility functions are not concave-shaped but S-shaped. That is, individuals exhibit diminishing sensitivity to both gains and losses. S-shaped consumption utility explains the poor empirical performance of traditional consumption-based asset pricing models. Furthermore, S-shaped utility accounts for the positive correlation between state-dependent intertemporal elasticity of substitution and consumption growth.