Precautionary Savings, Illiquid Assets, and the Aggregate Consequences of Shocks to Household Income Risk

• 成果类型: Article
• 署名作者: Bayer, Christian; Luetticke, Ralph; Lien Pham-Dao; Tjaden, Volker
• 署名单位: University of Bonn; University of London; University College London; Deutsche Bundesbank
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA13601
• 发表日期: 2019
• 页码: 255-290
• 关键词: business cycles; transactions demand; idiosyncratic risk; uncertainty; POLICY; MODEL; Determinacy; INVESTMENT; DYNAMICS; monetary

摘要

Households face large income uncertainty that varies substantially over the business cycle. We examine the macroeconomic consequences of these variations in a model with incomplete markets, liquid and illiquid assets, and a nominal rigidity. Heightened uncertainty depresses aggregate demand as households respond by hoarding liquid paper assets for precautionary motives, thereby reducing both illiquid physical investment and consumption demand. We document the empirical response of portfolio liquidity and aggregate activity to surprise changes in idiosyncratic income uncertainty and find both to be quantitatively in line with our model. The welfare consequences of uncertainty shocks and of the policy response thereto depend crucially on a household's asset position.