| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28119 |
| 来源ID | Working Paper 28119 |
| The Collateral Link between Volatility and Risk Sharing | |
| Sebastian Infante; Guillermo Ordoñez | |
| 发表日期 | 2020-11-23 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We show that aggregate volatility affects the extent to which agents can share idiosyncratic risks through the valuation of collateral. Both private and public assets are used in insurance markets as collateral, but their exposure to volatility differs. While aggregate volatility decreases the value of private assets—they are exposed to more variation—it increases the value of public assets—they become more valuable to smooth consumption intertemporally. Hence, a more volatile economy tends to damage risk sharing when the composition of collateral is biased toward private assets. As we show that a stable economy is more propitious to the creation of private collateral, stability makes risk sharing increasingly fragile to volatility shocks. We find empirical evidence that the higher use of private assets in the U.S. has affected the sensitivity of risk sharing to aggregate volatility as predicted by our model. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w28119 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/585793 |
| 推荐引用方式 GB/T 7714 | Sebastian Infante,Guillermo Ordoñez. The Collateral Link between Volatility and Risk Sharing. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28119.pdf（615KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
