The Wrong Shape of Insurance? What Cross-Sectional Distributions Tell Us about Models of Consumption Smoothing

• 成果类型: Article
• 署名作者: Broer, Tobias
• 署名单位: Stockholm University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.5.4.107
• 发表日期: 2013
• 页码: 107-140
• 关键词: consumer expenditure survey; limited commitment; idiosyncratic risk; full insurance; panel data; INEQUALITY; income; constraints; debt

摘要

This paper shows how two standard models of consumption-risk-sharing-self-insurance through borrowing and saving and limited commitment to insurance contracts-replicate similarly well the standard, second-moment measures of insurance observed in US micro data. A nonparametric analysis, however, reveals strongly contrasting and counterfactual joint distributions of consumption, income and wealth. Method of moments estimation shows how measurement error in consumption eliminates excessive skewness and smoothness of consumption growth. Moreover, counterfactual nonlinearities disappear at high-estimated risk aversion under self-insurance, but are a robust feature of limited commitment. Its shape of insurance thus argues in favor of the self-insurance model.