Uninsured Idiosyncratic Investment Risk and Aggregate Saving
Uninsured Idiosyncratic Investment Risk and Aggregate Saving
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未投保的特殊投资风险和总储蓄
DOI：
10.2139/ssrn.675992
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发表时间：
2005
期刊：
影响因子：
--
通讯作者：
G. Angeletos
中科院分区：
文献类型：
--
作者：
G. Angeletos
本文增强了新古典增长模型来研究特殊投资风险的宏观经济影响。一般均衡是在偏好和技术的标准假设下以封闭形式求解的。相对于完全市场，当跨期替代弹性足够高时，稳态的特点是较低的利率和较低的资本存量。对于模型的合理校准来说，总储蓄和收入的减少在数量上是显着的。最后，私人投资风险的周期性变化会放大转型动力。
This paper augments the neoclassical growth model to study the macroeconomic effects of idiosyncratic investment risk. The general equilibrium is solved in closed form under standard assumptions for preferences and technologies. Relative to complete markets, the steady state is characterized by both a lower interest rate and a lower capital stock when the elasticity of intertemporal substitution is sufficiently high. For plausible calibrations of the model, the reduction in aggregate savings and income is quantitatively significant. Finally, cyclical variation in private investment risks is shown to amplify the transitional dynamics.