The Aggregate Costs of Uninsurable Business Risk†

• 成果类型: Article
• 署名作者: Boar, Corina; Gorea, Denis; Midrigan, Virgiliu
• 署名单位: New York University; National Bureau of Economic Research; Bank for International Settlements (BIS)
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282; 1944-7981
• DOI: 10.1257/aer.20230849
• 发表日期: 2026-07
• 页码: 2604-2642
• 关键词: Capital allocation; misallocation; returns; entrepreneurship; Heterogeneity; PRODUCTIVITY; persistence; INVESTMENT; frictions; finance

摘要

We use firm-level data to document that private businesses experience large fluctuations in their profit shares. These are due to large, fat-tailed, and transitory changes in output that are not fully accompanied by changes in their inputs. We interpret this evidence using a model of entrepreneurial dynamics. Because firms can limit their exposure to risk by operating at a smaller scale, our model predicts large macroeconomic losses from uninsurable business risk, much larger than those stemming from credit constraints. While self-financing allows entrepreneurs to quickly overcome credit constraints, even wealthy entrepreneurs remain considerably exposed to risk. (JEL D33, E02, E44, G32, L25, L26)