A Comment on Safe Assets by Barro et al. (2022)

Arbeitspapier

Barro et al. (2022) investigate the quantity of safe assets held in the cross-section of developed countries and find that the average safe-asset ratio (ratio of safe assets to total assets) was 37% in 2015 and has remained relatively stable over time. They also document a crowding-out coefficient for private bonds relative to public bonds of around −0.5. In the second part of the analysis, they simulate a heterogeneous agent model with rare disasters and risk aversion to match the empirical findings. This report seeks to reproduce and confirm their results. Overall, we were largely able to replicate their findings and propose a few robustness checks. Apart from two regression outputs for which the signs and significance do not change, our results are very close to those of the original paper. Alternative models and estimators do not change the signs or significance levels. A more systematic approach to the parameter values in the simulations also points towards solid conclusions.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: I4R Discussion Paper Series ; No. 122

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Markets and the Macroeconomy ; Money Supply; Credit; Money Multipliers ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: Replication ; reproducibility ; robustness

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Coqueret, Guillaume ; Filippin, Maria Elena ; Laguerre, Martial ; Weber, Christoph
• Ereignis: Veröffentlichung
• (wer): Institute for Replication (I4R)
• (wo): s.l.
• (wann): 2024

Weitere Informationen

• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ