Relative Risk Aversion: A Meta-Analysis
Elminejad A. Havranek T. Irsova Z.
December 2025John Wiley and Sons Inc
Journal of Economic Surveys
2025#39Issue 52315 - 2333 pp.
Estimates of relative risk aversion vary widely, but no study has attempted to quantitatively trace the sources of the variation. We collect 1021 estimates from 92 studies that use the consumption Euler equation to measure relative risk aversion and that disentangle it from intertemporal substitution. We show that calibrations of risk aversion are systematically larger than estimates thereof. Moreover, reported estimates are systematically larger than the underlying risk aversion because of publication bias. After correction for the bias, the literature suggests a mean risk aversion of 1 in economics and 2–7 in finance contexts. The reported estimates are driven by the characteristics of data (frequency, dimension, country, stockholding) and utility (functional form, treatment of durables). To obtain these results, we use recently developed techniques to correct for publication bias and Bayesian model averaging techniques to account for model uncertainty.
Bayesian model averaging , Epstein–Zin preferences , Euler equation , meta-analysis , publication bias , risk aversion
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Department of Economics, Nazarbayev University, Astana, Kazakhstan
Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic
Centre for Economic Policy Research, London, United Kingdom
Meta-Research Innovation Center at Stanford, Stanford, CA, United States
Department of Economics
Institute of Economic Studies
Centre for Economic Policy Research
Meta-Research Innovation Center at Stanford
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