Abstract
Cochrane (1991, Journal of Political Economy 99, 957-976) and Mace (1991, Journal of Political Economy 99, 928-956) test if risk sharing across households is complete in the sense that household consumption moves one-for-one with aggregate consumption. In their studies the source of income risk is idiosyncratic, and agents can share risk across the entire economy. Using a sample of households from the Panel Study on Income Dynamics (PSID), we explore whether households share the risk associated with their industries and regions across households in other regions and industries. We find that a large fraction of risk faced by households is not shared across regions and industries.
| Original language | English |
|---|---|
| Pages (from-to) | 533-560 |
| Number of pages | 28 |
| Journal | Journal of Monetary Economics |
| Volume | 45 |
| Issue number | 3 |
| Publication status | Published - 2000 Jun 1 |
Fingerprint
Keywords
- E21
- Quantity anomaly
- Risk sharing
ASJC Scopus subject areas
- Economics and Econometrics
- Finance
Cite this
Risk sharing by households within and across regions and industries. / Hess, Gregory D.; Shin, Kwanho.
In: Journal of Monetary Economics, Vol. 45, No. 3, 01.06.2000, p. 533-560.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Risk sharing by households within and across regions and industries
AU - Hess, Gregory D.
AU - Shin, Kwanho
PY - 2000/6/1
Y1 - 2000/6/1
N2 - Cochrane (1991, Journal of Political Economy 99, 957-976) and Mace (1991, Journal of Political Economy 99, 928-956) test if risk sharing across households is complete in the sense that household consumption moves one-for-one with aggregate consumption. In their studies the source of income risk is idiosyncratic, and agents can share risk across the entire economy. Using a sample of households from the Panel Study on Income Dynamics (PSID), we explore whether households share the risk associated with their industries and regions across households in other regions and industries. We find that a large fraction of risk faced by households is not shared across regions and industries.
AB - Cochrane (1991, Journal of Political Economy 99, 957-976) and Mace (1991, Journal of Political Economy 99, 928-956) test if risk sharing across households is complete in the sense that household consumption moves one-for-one with aggregate consumption. In their studies the source of income risk is idiosyncratic, and agents can share risk across the entire economy. Using a sample of households from the Panel Study on Income Dynamics (PSID), we explore whether households share the risk associated with their industries and regions across households in other regions and industries. We find that a large fraction of risk faced by households is not shared across regions and industries.
KW - E21
KW - Quantity anomaly
KW - Risk sharing
UR - http://www.scopus.com/inward/record.url?scp=0007931054&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0007931054&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:0007931054
VL - 45
SP - 533
EP - 560
JO - Journal of Monetary Economics
JF - Journal of Monetary Economics
SN - 0304-3932
IS - 3
ER -