johannes.gierlinger@uab.cat

CV (pdf)

Research

Matching to share risk without commitment (2018, with Sarolta Laczó). The Economic Journal, 28(613): 2003–2031.

Market completeness and ambiguity aversion. 

Do interest rates decline when there is ambiguity about growth? (with Christian Gollier). 

Simple market structures are incomplete (with Pau Milán)

Work in Progress

Local risk sharing with hidden income (with Pau Milán)

Abstracts

Simple market structures are incomplete

This paper studies risk sharing when incomes depend on a set of random variables but no single transfer jointly conditions on all of them. We show that no combination of these simple transfers –no matter how rich– can replicate insurance against joint worst realizations. A decomposition result uniquely identifies the nontradable component in income risk for any simplicity structure. If each agent faces an additional personal constraint, insurance is further constrained by spillovers. Agents of type i are then exposed to uninsurable income risk unless there exists another type j who can unilaterally condition on all variables affecting i’s income.

Market completeness and ambiguity aversion

With standard preferences, markets are complete if they are rich enough to span the payoff space. I show that trading additional insurance claims against payoff-irrelevant variables can improve risk sharing among households with identical, but ambiguous, beliefs. Despite the excess randomness on events where every household's endowment is constant, risk sharing may improve as a result, both when evaluated by ambiguous beliefs and by a planner's unambiguous beliefs, akin to a No-Betting-Pareto improvement. The phenomenon is documented for various ambiguity preferences. Exceptions include multiplier preferences from robust control theory.

Do interest rates decline when there is ambiguity about growth? (with Christian Gollier)

This paper studies whether ambiguous beliefs about consumption growth decrease interest rates. Various ambiguity preferences are shown to potentially increase rates. We distinguish two effects. The first acts like a pessimistic belief distortion that satisfies the monotone likelihood ratio property. It decreases rates for multiplier preference from robust control theory, but not necessarily for smooth or maxmin preferences. Second, we identify an additional "ambiguity-prudence'' effect for smooth preferences. It is negative if and only if absolute ambiguity aversion is decreasing. The term structure is shown to be qualitatively different from expected utility in analytical examples.

This replaces our working paper: Socially efficient discounting under ambiguity aversion

Matching to share risk without commitment (with Sarolta Laczó)

This paper studies the effect of limited commitment on sorting when two sides of a frictionless matching market form pairs to share risk. First, we provide analytical results when risk-sharing contracts condition on current shocks only. We show that (i) if the couple faces no aggregate risk, any stable matching is positive assortative in risk aversion, while (ii) if the correlation of income shocks is non-negative, matching is negative assortative. Second, we propose a numerical algorithm to detect assortativity when transfers are history dependent. Positive assortative matching can be stable both for positive and negative correlation of shocks.