Channels of Risk Sharing at Micro Level: Savings, Investments and Risk Aversion Heterogeneity
本文利用英国家庭面板调查数据，首次在微观层面应用收入方差分解方法，发现储蓄渠道是英国风险分担的主要驱动力，并揭示了风险厌恶与金融市场平滑程度之间的倒U型关系。
Abstract Applying the standard income variance decomposition methodology, the paper explores for the first time the role and the extent of smoothing channels at a micro level using a sample of UK households. Our empirical analysis of British Household Panel Survey data concludes that the bulk of risk sharing in the UK is driven by the savings channel. By allowing for risk aversion heterogeneity, we detect an inverted U‐shaped relationship between risk aversion and the extent of smoothing achieved through financial markets. We also analyse the issue of risk sharing by income, education levels and region. We find that risk sharing is more effective (higher) for individuals whose savings are more flexible, while it is less effective (lower) for individuals characterized by more stable savings rate (like the Scottish population), regardless of their economic conditions. Copyright © 2015 John Wiley & Sons, Ltd.