In fifteen European countries, China, and the US, stocks and business equity as a share of total household assets are … labor-income risk can explain much of this risk-taking pattern. Uncontrollable labor-income risk stresses middle …, middle-income households reduce (controllable) financial risk. Richer households, having less pressure, can afford more risk …

--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 …

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that … assets. Because households are subject to more background risk than previously considered, the estimated model implies a … substantially lower coefficient of risk aversion. We also find renewed support for rule-of-thumb investment strategies under the …

models are more likely to have generated the data. In particular, despite its generality, a model with both risk aversion and …

information is integrated into a standard incomplete markets model, it affects household consumption‐saving decisions too little …

convex dynamic risk measure generated by the solution of a backward stochastic differential equation. The agents are exposed … to financial and non-financial risk factors. They can hedge their financial risk in the stock market and trade a … structured derivative whose payoff depends on both financial and external risk factors. We prove an existence and uniqueness of …

Purpose: The purpose of this paper is to analyze the efficiency loss due to incomplete financial markets when risk is …

Dynamic stochastic general equilibrium models with ex-post heterogeneity due to idiosyncratic risk have to be solved … space due to aggregate risk. Existing global solution methods often assume bounded rationality in terms of a parametric law … the rational expectations equilibrium. Economically, I find that higher levels of idiosyncratic risk sharing lead to …

This paper analyzes the welfare costs of business cycles when workers face uninsurable idiosyncratic labor income risk …. In accordance with the previous literature, this paper decomposes labor income risk into an aggregate and an … income risk. Using the multi-dimensional approach to idiosyncratic risk, this paper provides a general characterization of …