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dc.contributor.authorKrueger, Dirken
dc.contributor.authorUhlig, Haralden
dc.date.accessioned2006-08-03-
dc.date.accessioned2009-07-24T13:47:34Z-
dc.date.available2009-07-24T13:47:34Z-
dc.date.issued2005-
dc.identifier.piurn:nbn:de:hebis:30-10844en
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
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2005/07en
dc.subject.jelG22en
dc.subject.jelE21en
dc.subject.jelD11en
dc.subject.jelD91en
dc.subject.ddc330en
dc.subject.keywordLong-term Contractsen
dc.subject.keywordRisk Sharingen
dc.subject.keywordLimited Commitmenten
dc.subject.keywordCompetitionen
dc.subject.stwFinanzintermediären
dc.subject.stwRisikomanagementen
dc.subject.stwVertragen
dc.subject.stwVersicherungen
dc.subject.stwTheorieen
dc.titleCompetitive risk sharing contracts with one-sided commitment-
dc.typeWorking Paperen
dc.identifier.ppn515245720en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200507en

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