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dc.contributor.authorKrueger, Dirken_US
dc.contributor.authorUhlig, Haralden_US
dc.date.accessioned2006-08-03en_US
dc.date.accessioned2009-07-24T13:47:34Z-
dc.date.available2009-07-24T13:47:34Z-
dc.date.issued2005en_US
dc.identifier.piurn:nbn:de:hebis:30-10844-
dc.identifier.urihttp://hdl.handle.net/10419/25450-
dc.description.abstractThis paper analyzes dynamic equilibrium risk sharing contracts between profit-maximizing intermediaries and a large pool of ex-ante identical agents that face idiosyncratic income uncertainty that makes them heterogeneous ex-post. In any given period, after having observed her income, the agent can walk away from the contract, while the intermediary cannot, i.e. there is one-sided commitment. We consider the extreme scenario that the agents face no costs to walking away, and can sign up with any competing intermediary without any reputational losses. We demonstrate that not only autarky, but also partial and full insurance can obtain, depending on the relative patience of agents and financial intermediaries. Insurance can be provided because in an equilibrium contract an up-front payment e.ectively locks in the agent with an intermediary. We then show that our contract economy is equivalent to a consumption-savings economy with one-period Arrow securities and a shortsale constraint, similar to Bulow and Rogo. (1989). From this equivalence and our characterization of dynamic contracts it immediately follows that without cost of switching financial intermediaries debt contracts are not sustainable, even though a risk allocation superior to autarky can be achieved.en_US
dc.language.isoengen_US
dc.publisherCenter for Financial Studies Frankfurt, Mainen_US
dc.relation.ispartofseriesCFS Working Paper 2005/07en_US
dc.subject.jelG22en_US
dc.subject.jelE21en_US
dc.subject.jelD11en_US
dc.subject.jelD91en_US
dc.subject.ddc330en_US
dc.subject.keywordLong-term Contractsen_US
dc.subject.keywordRisk Sharingen_US
dc.subject.keywordLimited Commitmenten_US
dc.subject.keywordCompetitionen_US
dc.subject.stwFinanzintermediären_US
dc.subject.stwRisikomanagementen_US
dc.subject.stwVertragen_US
dc.subject.stwVersicherungen_US
dc.subject.stwTheorieen_US
dc.titleCompetitive risk sharing contracts with one-sided commitmenten_US
dc.typeWorking Paperen_US
dc.identifier.ppn515245720en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:cfswop:200507-
Appears in Collections:CFS Working Paper Series, Universität Frankfurt a. M.

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