Johannes Gierlinger

Visiting Assistant Professor 
Department of Economics 
Universidad Carlos III de Madrid


Matching to share risk without commitment (with Sarolta Laczó). The Economic Journal (forthcoming).

Do interest rates decline when there is ambiguity about growth? (with Christian Gollier). Revise and Resubmit at Journal of Mathematical Economics.  

Work in Progress

Local risk sharing with hidden income (with Pau Milán)


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.