全球智库信息集成服务系统(G2TT): Risk Sharing Externalities

G2TT

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.