REDISTRIBUTION AND FISCAL UNCERTAINTY SHOCKS

• 成果类型: Article
• 署名作者: Saijo, Hikaru
• 署名单位: University of California System; University of California Santa Cruz
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12449
• 发表日期: 2020
• 页码: 1073-1095
• 关键词: nominal rigidities; RISK

摘要

This article studies the impact of fiscal uncertainty shocks. In micro data, noncapital holders reduce consumption persistently in response to an increase in fiscal uncertainty whereas capital holders do not. Motivated by this evidence, I introduce limited capital market participation and show that it magnifies the fall in economic activity due to a fiscal uncertainty shock and induces macroeconomic comovement. This is because the limited participation model captures individual uncertainty about redistribution. When agents are ambiguity averse, this uncertainty about redistribution has first-order effects. As a result, the model successfully matches the empirical responses of macro and household variables.