The collateral link between volatility and risk sharing

• 成果类型: Article
• 署名作者: Infante, Sebastian; Ordonez, Guillermo
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2024.103693
• 发表日期: 2025
• 关键词: Collateral; Aggregate volatility; Financial stability; risk sharing; Convenience yield

摘要

We show that the effect of aggregate volatility on idiosyncratic risk sharing depends on the nature of collateral sustaining insurance. While volatility increases the value of public assets- more useful for consumption smoothing-it decreases the value of private assets-more exposed to aggregate variation. Hence, a more volatile economy weakens risk sharing when collateral composition is biased towards private assets. When applied to financial intermediaries that rely heavily on private collateral to share risks, aggregate instability is more likely to induce financial instability. We empirically show that the sensitivity of risk sharing to aggregate volatility indeed depends on the collateral composition as predicted by the theory.