Kurs:Aggregate Income Risk
| Lfd. | Titel | Abstract | Bewertung |
|---|---|---|---|
| 1 | RJ Shiller - The Quarterly Review of Economics and Finance, 1995: Aggregate income risks and hedging mechanisms] | Hedging Income Risk in Today's
Markets There has been remarkably little attention paid to developing new methods for efficiently sharing risk about aggregate income.18 All of the discussion in theoretical finance ... |
56 citations |
| 2 | P Weil - Journal of Economic Dynamics and Control, 1992: Equilibrium asset prices with undiversifiable labor income risk | 178 citations | |
| 3 | L Guiso, T Jappelli, D Terlizzese - The American Economic Review, 1996: Income risk, borrowing constraints, and portfolio choice | In fact, in aggre- gate time-series studies one can rely at most on proxies that reflect aggregate
risk. ... In this paper we extend previous studies of portfolio choice by explicitly considering the role of income risk and borrowing constraints in the allocation of households' financial as ... |
422 citations |
| 4 | G Bertola - The Review of Economic Studies, 2004: A pure theory of job security and labour income risk | reactions to idiosyncratic shocks maximize the aggregate net production flow. The equilibrium
is also consumption efficient when it achieves production efficiency because workers are either perfectly insured (by risk-neutral employers, or by net labour income equalization), or ... |
123 citations |
| 5 | AA Rampini - Journal of Economic Theory, 2005: Default and aggregate income | Abstract. This paper studies how default varies with aggregate income. We analyze
a model in which optimal contracts enable risk sharing of privately observed, idiosyncratic income by allowing for default. Default provisions ... |
20 citations |
| 6 | A Atkeson, T Bayoumi - Open Economies Review, 1993: Do private capital markets insure regional risk? Evidence from the United States and Europe | The dynamic evolution of the aggregate economy can be deduced from individual dynamics,
as presented in ... to all students and by taxing all those who have a higher income, without even ... The results of our model are also robust to the introduction of individual uninsured risk. ... |
2824 citations |
| 7 | H Lustig, YL Chien - 2005: The market price of aggregate risk and the wealth distribution | G0 ABSTRACT We introduce limited liability in a model with a continuum of ex ante identical
agents who face aggregate and idiosyncratic income risk. ... with risk aversion coefficient γ. These agents face aggregate and idiosyncratic income risk. They ... |
109 citations |
| 8 | SJ Davis, P Willen - manuscript, University of Chicago, 2000: Using financial assets to hedge labor income risks: estimating the benefits | They report a small negative correlation of equity returns with aggregate wage income and a
larger, but still modest, positive correlation with aggregate propri- etary business ... Em- pirical work on portfolio allocation behavior devotes little attention to hedging labor income risk. ... |
116 citations |