Imperfect Risk Sharing and the Business Cycle*

• 成果类型: Article
• 署名作者: Berger, David; Bocola, Luigi; Dovis, Alessandro
• 署名单位: Duke University; Stanford University; University of Pennsylvania
• 刊物名称: QUARTERLY JOURNAL OF ECONOMICS
• ISSN/ISSBN: 0033-5533
• DOI: 10.1093/qje/qjad013
• 发表日期: 2023
• 页码: 1765-1815
• 关键词: monetary-policy; Heterogeneous consumers; precautionary savings; asset; PARTICIPATION; models; income; INEQUALITY; DYNAMICS; WEALTH

摘要

This article studies the macroeconomic implications of imperfect risk sharing implied by a class of New Keynesian models with heterogeneous agents. The models in this class can be equivalently represented as a representative-agent economy with wedges. These wedges are functions of households' consumption shares and relative wages, and they identify the key cross-sectional moments that govern the impact of households' heterogeneity on aggregate variables. We measure the wedges using U.S. household-level data and combine them with a representative-agent economy to perform counterfactuals. We find that deviations from perfect risk sharing implied by this class of models account for only 7% of output volatility on average but can have sizable output effects when nominal interest rates reach their lower bound.