文章基本信息

标题：Discussion
本地全文：下载
作者：Klaus Schmidt-Hebbel
期刊名称：International Journal of Central Banking
印刷版ISSN：1815-4654
出版年度：2013
出版社：IJCB Publications Fulfillment
摘要：This paper develops an elegant model on a relevant issue. The issue is a specific market failure—the lack of inflation-indexed debt— which, combined with real output uncertainty, precludes optimal risk sharing among consumers hit by idiosyncratic shocks. The paper starts with a benchmark two-period consumption and risk-sharing model under complete markets for a closed economy where agents are hit by idiosyncratic output shocks. By trading state-contingent Arrow-Debreu assets, idiosyncratic risk is completely traded away and the economy attains the first-best Pareto-optimal general equilibrium. This model follows closely the world asset trading model due to Lucas (1982) (nicely presented in chapter 5 of Obstfeld and Rogoff 1996), where two countries hit by idiosyncratic output shocks engage in first-best international exchange of state-contingent Arrow-Debreu assets.