Policy Cooperation, Incomplete Markets, and Risk Sharing

2016 ◽  
Vol 64 (1) ◽  
pp. 103-133 ◽  
Author(s):  
Charles Engel
Keyword(s):  
Incomplete Markets ◽  
Risk Sharing

Risk Sharing in Voluntarily Incomplete Markets

2021 ◽  
Author(s):  
Daniel Neuhann ◽  
Mahyar Sefidgaran ◽  
Michael Sockin
Keyword(s):  
Incomplete Markets ◽  
Risk Sharing

scholarly journals Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing

1996 ◽  
Vol 104 (3) ◽  
pp. 443-487 ◽  
Author(s):  
John Heaton ◽  
Deborah J. Lucas
Keyword(s):  
Asset Pricing ◽  
Incomplete Markets ◽  
Risk Sharing

RISK SHOCKS, RISK MANAGEMENT, AND INVESTMENT

2019 ◽  
pp. 1-31
Author(s):  
Jonathan Goldberg
Keyword(s):  
Incomplete Markets ◽  
Risk Sharing ◽  
Idiosyncratic Risk ◽  
Limited Commitment ◽  
Business Risk ◽  
Financial Contracts ◽  
Business Outcomes ◽  
Credit Lines ◽  
Aggregate Investment ◽  
State Capital

This paper studies the macroeconomic effects of shocks to idiosyncratic business risk in an economy with endogenously incomplete markets. I develop a model in which firms face idiosyncratic risk and obtain insurance from intermediaries through contracts akin to credit lines. Insurance is imperfect due to limited commitment in financial contracts. Although steady-state capital is higher than if firms were constrained to issue only standard equity, a rise in uncertainty about idiosyncratic business outcomes leads to an endogenous reduction in risk sharing. This deterioration in risk sharing results from a general-equilibrium shortage of pledgeable assets and implies that the economy’s response to an increase in idiosyncratic business risk can be amplified by financial contracting rather than dampened. In a parametrized version of the model, a rise in idiosyncratic business risk generates a large increase in uncertainty about aggregate investment.

SCENARIOS FOR PRICE DETERMINATION IN INCOMPLETE MARKETS

2008 ◽  
Vol 11 (05) ◽  
pp. 415-445 ◽  
Author(s):  
S. Z. XANTHOPOULOS ◽  
A. N. YANNACOPOULOS
Keyword(s):  
Incomplete Markets ◽  
Risk Sharing ◽  
Asset Prices ◽  
Incomplete Market ◽  
The Other ◽  
Market Game ◽  
Price Determination ◽  
Trinomial Model ◽  
Utility Pricing

We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios, based on utility pricing. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Dynamical schemes modeling the convergence of the buyer and seller prices to a unique price are proposed. The case of exponential utilities is treated in detail, in the simplest possible example of an incomplete market, the trinomial model.

scholarly journals Risk sharing and retrading in incomplete markets

2012 ◽  
Vol 54 (2) ◽  
pp. 287-304 ◽  
Author(s):  
Piero Gottardi ◽  
Rohit Rahi
Keyword(s):  
Incomplete Markets ◽  
Risk Sharing

Protecting All: Risk Sharing for a Diverse and Diversifying World of Work

2019 ◽  
Author(s):  
Truman Packard ◽  
Ugo Gentilini ◽  
Margaret Grosh ◽  
Philip O’Keefe ◽  
Robert Palacios ◽  
...  
Keyword(s):  
Risk Sharing
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