Econ Papers Daily / 期刊论文
风险的起源
The Origin of Risk
摘要
We propose a tractable model in which risk, at both the micro and macro levels, is endogenous and driven by incentives. In the model, each firm chooses the mean and the variance of its productivity process, as well as how it covaries with the productivity of other firms. Aggregate risk arises when firms select productivity processes that are correlated with one another. The theory predicts that larger firms and those with lower markups are less volatile and less correlated with aggregate productivity. We find support for these predictions in the data. Through their impact on risk-taking decisions, distortions such as taxes and markups can make GDP more volatile in equilibrium. In a calibrated version of the model, removing distortions significantly reduces GDP volatility.
中文摘要
我们提出一个易于处理的模型，其中微观和宏观层面的风险都是内生的，并由激励驱动。在该模型中，每家企业选择其生产率过程的均值和方差，以及它与其他企业生产率如何协变。当企业选择彼此相关的生产率过程时，总体风险便会产生。该理论预测，规模较大的企业以及加成率较低的企业波动性较小，且与总体生产率的关联性较弱。我们在数据中找到了支持这些预测的证据。税收和加成等扭曲通过影响风险承担决策，可能使均衡中的GDP更加波动。在一个校准版本的模型中，消除扭曲会显著降低GDP波动性。