Artikel
Precautionary saving and aggregate demand
We construct, and then estimate by maximum likelihood, a tractable dynamic stochastic general equilibrium model with incomplete insurance and heterogenous agents. The key feature of our framework is that cross-sectional heterogeneity remains finite dimensional. The solution to the model thus admits a state- space representation that can be used to recover the distribution of the model's parameters. Household heterogeneity expands the set of observables to cross- sectional moments available at the business-cycle frequency (in addition to theusual macro and monetary time series). Incomplete insurance gives rise to a precautionary motive for holding wealth that propagates aggregate shocks via (i) a stabilizing aggregate supply effect, working through the supply of capital, and (ii) a destabilizing aggregate demand effect coming from the feedback loop between unemployment risk and precautionary saving. Using the estimated model to measure the contribution of precautionary savings to the propagation of recent recessions, we find strong aggregate demand effects during the Great Recession and, to a lesser extent, during the 1990-1991 recession. In contrast, the supply effect at least offsets the demand effect during the 2001 recession.
- Sprache
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Englisch
- Erschienen in
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Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 8 ; Year: 2017 ; Issue: 2 ; Pages: 435-478 ; New Haven, CT: The Econometric Society
- Klassifikation
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
General Aggregative Models: Keynes; Keynesian; Post-Keynesian
Macroeconomics: Consumption; Saving; Wealth
Monetary Policy
- Thema
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DSGE
incomplete insurance
heterogenous agents
Bayesian estimation
- Ereignis
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Geistige Schöpfung
- (wer)
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Challe, Edouard
Matheron, Julien
Ragot, Xavier
Rubio-Ramírez, Juan Francisco
- Ereignis
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Veröffentlichung
- (wer)
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The Econometric Society
- (wo)
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New Haven, CT
- (wann)
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2017
- DOI
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doi:10.3982/QE714
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Challe, Edouard
- Matheron, Julien
- Ragot, Xavier
- Rubio-Ramírez, Juan Francisco
- The Econometric Society
Entstanden
- 2017