Estimating background risk hedging demands from cross‐sectional data
基于不可交易资产的投资组合理论，利用横截面数据估计美国家庭在大衰退前后的背景风险对冲需求，发现人力资本、房产和商业资产的对冲需求降低了金融风险承担，且这些效应在大衰退期间减弱。
Abstract Based on a theory of portfolio choice with non‐tradable assets, we estimate hedging demands due to background risks before and after the Great Recession for U.S households. Hedging demands related to human capital, residential property and business assets reduce financial risk‐taking, but these effects decline over the Great Recession, as does expected risk‐adjusted stock market performance. We also estimate the appropriate discount rate to compute the risk‐adjusted value of human capital, which declines by around eight percent over the period. Unlike previous literature requiring panel data with large time dimensions, our approach only requires cross‐sectional data to identify hedging demands.