Precautionary Savings, Illiquid Assets, and the Aggregate Consequences of Shocks to Household Income Risk
Precautionary Savings, Illiquid Assets, and the Aggregate Consequences of Shocks to Household Income Risk
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DOI：
10.3982/ecta13601
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发表时间：
2019-01-01
期刊：
影响因子：
6.1
通讯作者：
Tjaden, Volker
中科院分区：
文献类型：
--
作者：
Bayer, Christian;Luetticke, Ralph;Tjaden, Volker
家庭面临着巨大的收入不确定性，这种不确定性在商业周期中变化很大。我们在一个具有不完全市场、流动性和非流动性资产以及名义刚性的模型中研究这些变化的宏观经济后果。不确定性的加剧抑制了总需求，因为家庭出于预防目的而囤积流动性“纸质”资产，从而减少了非流动性的实物投资和消费需求。我们记录了投资组合流动性和总体活动对特殊收入不确定性的意外变化的实证反应，并发现两者在数量上与我们的模型一致。不确定性冲击及其政策反应的福利后果在很大程度上取决于家庭的资产状况。
Households face large income uncertainty that varies substantially over the business cycle. We examine the macroeconomic consequences of these variations in a model with incomplete markets, liquid and illiquid assets, and a nominal rigidity. Heightened uncertainty depresses aggregate demand as households respond by hoarding liquid "paper" assets for precautionary motives, thereby reducing both illiquid physical investment and consumption demand. We document the empirical response of portfolio liquidity and aggregate activity to surprise changes in idiosyncratic income uncertainty and find both to be quantitatively in line with our model. The welfare consequences of uncertainty shocks and of the policy response thereto depend crucially on a household's asset position.