Fiche du document
- handle: 10670/1.doqn17
- hal: hal-03949680
- doi: 10.3982/QE714
- WOS: 000408740600004
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.3982/QE714
http://creativecommons.org/licenses/by-nc/
Mots-clés
DSGE Incomplete insurance Heterogenous agents Bayesian estimation. C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models E - Macroeconomics and Monetary Economics/E.E1 - General Aggregative Models/E.E1.E12 - Keynes • Keynesian • Post-Keynesian E - Macroeconomics and Monetary Economics/E.E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy/E.E2.E21 - Consumption • Saving • Wealth E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E52 - Monetary PolicySujets proches
Assurance (Insurance) Coverage, Insurance Insurance protection Insurance coverage Insurance industry Indemnity insurance Mutual insurance Underwriting Pattern ModelCiter ce document
Edouard Challe et al., « Precautionary Saving and Aggregate Demand », Archive ouverte de Sciences Po (SPIRE), ID : 10.3982/QE714
Métriques
Partage / Export
Résumé
We construct, and then estimate by maximum likelihood, a tractable dynamic stochastic general equilibrium model with incomplete insurance and heterogenous agents. The key feature of our framework is that cross‐sectional heterogeneity remains finite dimensional. The solution to the model thus admits a state‐space representation that can be used to recover the distribution of the model's parameters. Household heterogeneity expands the set of observables to cross‐sectional moments available at the business‐cycle frequency (in addition to the usual macro and monetary time series). Incomplete insurance gives rise to a precautionary motive for holding wealth that propagates aggregate shocks via (i) a stabilizing aggregate supply effect, working through the supply of capital, and (ii) a destabilizing aggregate demand effect coming from the feedback loop between unemployment risk and precautionary saving. Using the estimated model to measure the contribution of precautionary savings to the propagation of recent recessions, we find strong aggregate demand effects during the Great Recession and, to a lesser extent, during the 1990–1991 recession. In contrast, the supply effect at least offsets the demand effect during the 2001 recession.