ENDOGENOUS PARTIAL INSURANCE AND INEQUALITY

• 成果类型: Article
• 署名作者: Mengus, Eric; Pancrazi, Roberto
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; University of Warwick
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1093/jeea/jvz034
• 发表日期: 2020
• 页码: 2270-2314
• 关键词: consumption inequality; borrowing constraints; market participation; labor income; RISK; WEALTH; US; entrepreneurship; COSTS; MODEL

摘要

In this paper, we propose a model of endogenous partial insurance and we investigate its implications for macroeconomic outcomes, such as wealth inequality, asset accumulation, interest rate, and consumption smoothing. To this end, we include participation costs to state-contingent asset markets into an otherwise standard Aiyagari (1994) model. We highlight the resulting nonmonotonic relationship between wealth and insurance-market participation when insurance is costly. Poor households remain uninsured, middle-class households participate in the insurance market, whereas rich households decide to self-insure by only purchasing risk-free assets. After theoretically characterizing the endogenous partial insurance equilibrium, we quantify its effect, emphasizing the roles of a participation channel and an interest rate channel.