Risk sharing
In this course, we will study income risk sharing with incomplete markets. This will tackle two, broad topics: what are the stochastic processes driving the shocks and how do individuals self-insure? As an extension we will look at more nuanced financial markets for households, particularly incorporating default and delinquency risk.
Rolling course description
We introduced the class and set up presentations and the topic area.
We introduced a life-cycle incomplete markets model, based on Storesletten Telmer & Yaron (2004) and described how to use either the cross-sectional age profile or the within-individual covariance of income changes to estimate an income process as described in Guvenen (2005).
Links:
https://ideas.repec.org/a/eee/moneco/v51y2004i3p609-633.html
https://ideas.repec.org/a/red/issued/06-15.html
Estimating Income Processes
The first assignment will use one of the US sources of panel data to estimate a parsimonious AR(1) + i.i.d process. Some of the useful sources:
https://psidonline.isr.umich.edu/
https://www2.nber.org/data/sipp.html or https://ceprdata.org/sipp-uniform-data-extracts/