Risk sharing with private and public information

• 成果类型: Article
• 署名作者: Denderski, Piotr; Stoltenberg, Christian A.
• 署名单位: University of Leicester; Polish Academy of Sciences; Institute of Economics of the Polish Academy of Sciences; University of Amsterdam; Tinbergen Institute
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2019.104988
• 发表日期: 2020
• 关键词: Risk sharing; Social value of information; limited commitment

摘要

In this paper, we revisit the conventional view on efficient risk sharing that advance information on future shocks is detrimental to welfare. In our model, risk-averse agents receive private and public signals on future income realizations and engage in insurance contracts with limited enforceability. Consistent with the conventional view, better private and public signals are detrimental to welfare when only one type of signal is informative. Our main novel result applies when both signals are informative. In this case, we show that better public information can improve the allocation of risk when private signals are sufficiently precise. More precise public signals spread out the outside option values of high-income agents with high and low public signals and their willingness to transfer resources to low-income agents decreases. With informative private signals, however, more informative public signals increase outside option values of agents with a high signal by less than outside options of agents with a low signal decrease, facilitating more transfers. The latter effect dominates the former when private signals are sufficiently precise. (C) 2020 Elsevier Inc. All rights reserved.