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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w26985 |
来源ID | Working Paper 26985 |
Risk Sharing Externalities | |
Luigi Bocola; Guido Lorenzoni | |
发表日期 | 2020-04-13 |
出版年 | 2020 |
语种 | 英语 |
摘要 | Financial crises typically arise because firms and financial institutions choose balance sheets that expose them to aggregate risk. We propose a theory to explain these risk exposures. We study a financial accelerator model where entrepreneurs can issue state-contingent claims to consumers. Even though entrepreneurs could use these contingent claims to hedge negative shocks, we show that they tend not to do so. This is because it is costly to buy insurance against these shocks as consumers are also harmed by them. This effect is self-reinforcing, as the fact that entrepreneurs are unhedged amplifies the negative effects of shocks on consumers’ incomes. We show that this feedback can be quantitatively important and lead to inefficiently high risk exposure for entrepreneurs. |
主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
URL | https://www.nber.org/papers/w26985 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/584657 |
推荐引用方式 GB/T 7714 | Luigi Bocola,Guido Lorenzoni. Risk Sharing Externalities. 2020. |
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文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w26985.pdf(419KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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