The Wrong Shape of Insurance? What Cross-Sectional Distributions Tell Us about Models of Consumption Smoothing
比较了自保险和有限承诺两种消费风险分担模型，发现它们都能拟合美国微观数据的二阶矩指标，但非参数分析显示有限承诺模型产生的消费、收入和财富联合分布与数据不符，而自保险模型在估计高风险厌恶时能消除这些矛盾，因此支持自保险模型。
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.