Uninsured idiosyncratic risk, liquidity constraints and aggregate fluctuations

被引:3
|
作者
DiazGimenez, J
机构
[1] Departamento de Economía, Universidad Carlos III de Madrid, E-28903 Getafe
关键词
D O I
10.1007/s001990050167
中图分类号
F [经济];
学科分类号
02 ;
摘要
I study the role played by uninsured idiosyncratic risk and liquidity constraints in the propagation of aggregate fluctuations. To this purpose, I compare the aggregate fluctuations of two model economies that differ in their insurance technologies only. In one of these model economies liquidity constrained households vary their holdings of a nominally denominated asset in order to buffer an uninsured idiosyncratic shock to their individual production opportunities. In the other economy every idiosyncratic component of risk can be costlessly insured. I find that the limited insurance technology implies fluctuations in output that are 20% larger, fluctuations in hours relative to output that are 9% larger, fluctuations in consumption relative to output that are 18% smaller, and a correlation of hours and productivity that is 15% smaller than those that obtain under the full insurance technology.
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页码:463 / 482
页数:20
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