Imperfect Risk Sharing and the Business Cycle
研究了一类异质性主体新凯恩斯模型中不完全风险分担对宏观经济的影响，发现其平均仅解释产出波动的7%，但在名义利率触及零下限时影响显著。
Abstract This article studies the macroeconomic implications of imperfect risk sharing implied by a class of New Keynesian models with heterogeneous agents. The models in this class can be equivalently represented as a representative-agent economy with wedges. These wedges are functions of households’ consumption shares and relative wages, and they identify the key cross-sectional moments that govern the impact of households’ heterogeneity on aggregate variables. We measure the wedges using U.S. household-level data and combine them with a representative-agent economy to perform counterfactuals. We find that deviations from perfect risk sharing implied by this class of models account for only 7% of output volatility on average but can have sizable output effects when nominal interest rates reach their lower bound.