Risk-Sharing Externalities

• 成果类型: Article; Early Access
• 署名作者: Bocola, Luigi; Lorenzoni, Guido
• 署名单位: Stanford University; National Bureau of Economic Research; National Bureau of Economic Research; University of Chicago
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/722088
• 发表日期: 2023
• 关键词: amplification; INVESTMENT; policies

摘要

Financial crises typically occur because firms and financial institutions are highly exposed to aggregate shocks. We propose a theory to explain these exposures. We study a model where entrepreneurs can issue state-contingent claims to consumers. Even though entrepreneurs can use these instruments to hedge negative shocks, they do not necessarily do so because insuring against these shocks is expensive, as consumers are also harmed by them. This effect is self-reinforcing because riskier balance sheets for entrepreneurs imply higher income volatility for the consumers, making insurance more costly in equilibrium. We show that this feedback is quantitatively important and leads to inefficiently high risk exposure for entrepreneurs.