非正式风险分担网络的完备性与效率——一种计算经济学的ABM仿真研究

在发展中国家的农村地区,非正式的风险分担网络是贫困农户抵御风险冲击的重要方式。然而,一直以来,关于风险分担网络的绝大多数研究都是集中于实证分析已形成的既定网络,而忽视网络的形成过程本身及其内在机制,无法对网络的无效性问题做出解释。本文利用基于主体的计算经济学建模方法对风险分担网络形成过程进行仿真,根据网络外部性特征,从成本不可转移的基准模型,逐渐扩展到成本在关系主体双方之间分担、在组件内所有主体分担,研究不同条件下风险分担网络的完备性和效率。我们的仿真研究发现,随着成本可转移性程度的提高,即关系网络的外部性逐渐减弱,所形成的风险分担关系的数量越来越多,风险分担网络越来越趋于完备,所形成的稳定网络越来越有效率。本文不仅较好地解释现有的大量实证发现,而且,还以仿真方式严格地证明了Bramoullé和Kranton(2007)的猜想:通过主体协调分担成本,可以消除网络外部性,从而形成有效的风险分担网络。     

Stable risk-sharing

We analyze the evolution of contract participation and evaluate the selection of risk-sharing contracts in the presence of moral hazard. Organizations specify rules for sharing output among producers, and so affect the extent of private investment in production. Organizations are rigid, as some details of the contract are fixed, but people are free to move around. In the presence of rigidity, equilibrium displays coordination failure because potentially efficient contracts can fail to attract participants. Methods of evolutionary stability are used to select equilibria when organizations compete for members. We identify stable contracts which survive competition against any other. Stable contracts need not be efficient, but for large groups the loss becomes small.     

Monetary policy with heterogeneous households and imperfect risk-sharing

This paper considers a sticky-price model with heterogeneous households and financial frictions. Financial frictions lead to imperfect risk-sharing among households with idiosyncratic labor incomes. I study implications of imperfect risk-sharing for optimal monetary policy by documenting its impacts on the monetary transmission mechanism, the inflation–output tradeoff faced by the central bank, the policy objective function, and the resulting targeting rule. The main finding is that while the central bank continues to have the conventional dual mandate — the output gap and inflation stabilization — it should place a greater weight on the later as the degree of financial frictions increases because price stability provides the additional benefit of reducing undesired consumption dispersion.     

Sharing ambiguous risks

We analyse risk-sharing when individuals perceive ambiguity about future events. The main departure from previous work is that different individuals perceive ambiguity differently. We show that individuals fail to share risks for extreme events. This may provide an explanation why we do not observe individuals buying insurance for certain events like hurricanes or earthquakes and why many contracts contain an “act of God” clause, which allows non-performance if an unforeseen event occurs.     

New financial markets: who gains and who loses

Summary. We evaluate the effects of new financial markets in a two-period incomplete markets model with heterogenous agents. For analytical tractability, we focus on the special case where utility is exponential and risks are normally distributed. We provide a complete characterization of life-cycle consumption and portfolio choice. The effect of new financial markets on individual welfare equals the sum of what we call the portfolio effect and the price effect. The portfolio effect is proportional to the square of the difference between the average exposure to the new asset in the economy and an individual investors exposure adjusted for risk aversion. The portfolio effect is always positive and measures the improved ability of investors to transfer consumption across states. The price effect captures the effect on individual welfare of changes in asset prices. We show that new financial markets drive down the prices of all assets which raises the interest rate and thus affects the ability of investors to transfer consumption across time. The price effect is positive for net savers but can be negative for net borrowers. For net borrower households, the price effect can wipe out the portfolio effect and lead to welfare reductions.Received: 24 July 2003, Revised: 22 March 2004, JEL Classification Numbers: D31, D52, G11, G12.Paul Willen: Thanks to Viral Acharaya, Alberto Bisin, Steve Davis, John Geanakoplos and a thoughtful anonymous referee for helpful comments and suggestions. Thanks also to seminar audiences at Stanford, Berkeley and at the 2001 Stony Brook workshop on incomplete markets for comments and suggestions. I gratefully acknowledge research support from the Graduate School of Business at the University of Chicago.     

Democracy, collective action and intra-elite conflict

We analyze a model where there is uncertainty about the future power of two ex-ante symmetric elites to appropriate surplus, and ex-ante surplus sharing agreements are not binding. We show that in an oligarchy, the stronger elite appropriates the entire available surplus, whereas a democracy results in a more balanced surplus allocation between the two elites. In a democracy, the newly enfranchised non-elite organize to act collectively, so that the weaker elite can credibly threaten to form a coalition with the organized non-elite against the stronger elite. Such a threat ensures that the more balanced surplus sharing proposal chosen by majority voting is renegotiation-proof. Therefore, sufficiently risk-averse elites unanimously choose democracy as a form of insurance against future imbalances in relative power. We emphasize that franchise extension to, and low cost of organizing collective political activity for, the non-elite are both necessary features of a democracy. Our formal analysis can account for the stylized facts that emerge from a comparative analysis of Indian and Western European democracies.