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来源类型Working Paper
规范类型报告
DOI10.3386/w26985
来源IDWorking 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
URLhttps://www.nber.org/papers/w26985
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/584657
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GB/T 7714
Luigi Bocola,Guido Lorenzoni. Risk Sharing Externalities. 2020.
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