This paper investigates how real estate wealth affects the household’s attitude toward risk, and derives the closed-form expressions for risk aversion with generalized recursive preferences. We find three channels through which real estate wealth affects risk aversion, and these channels are absent in the traditional measure of relative risk aversion as in Arrow (1965) and Pratt (1964). First, illiquidity and fluctuations in real estate value increase consumption risk, thereby increasing risk aversion. Second, real estate as an asset provides a cushion for absorbing negative shocks to households, reducing risk aversion. Third, an increase in real estate prices lowers the profit of the firm that uses real estate as a factor of production, induces a decline in the real wage, and causes a rise in consumption risk. This channel increases risk aversion. We study how these channels as a whole determine relative risk aversion using a basic real business cycle model with generalized recursive preferences and compare the results with the case of expected utility preferences. Finally, we explore the implications of the firm’s and the household’s real estate holdings and illiquidity of real estate on the risk premiums for equity and real estate.

本文研究房地产财富如何影响家庭对风险的态度，并推导具有广义递归偏好的风险规避的封闭形式。我们找到了房地产财富影响风险规避的三个渠道，而传统的相对风险规避措施没有这些渠道，如Arrow（1965）和Pratt（1964）所示。首先，流动性不足和房地产价值波动增加了消费风险，从而增加了风险规避。其次，房地产作为资产为缓冲对家庭的负面冲击提供了缓冲，从而减少了风险规避。第三，房地产价格上涨会降低以房地产为生产要素的公司的利润，导致实际工资下降，并导致消费风险上升。该渠道增加了风险规避。我们使用具有广义递归偏好的基本实际商业周期模型研究这些渠道作为一个整体如何确定相对风险规避，并将结果与​​预期效用偏好的情况进行比较。最后，我们探讨了公司和家庭的不动产持有量以及不动产的不流动性对股权和不动产的风险溢价的影响。