UAB & Barcelona GSE
I am Assistant Professor at the Department of Economics and Economic History at the Universitat Autonòma de Barcelona and Affiliated Professor at the Barcelona Graduate School of Economics. I work on the Economics of Risk and Uncertainty.
johannes '.' gierlinger 'at' uab '.' es
Positions
- since 2010: Assistant Professor, UAB
- 2005-2010: PhD, Toulouse School of Economics
Research papers
Matching and self-enforcing insurance (with Sarolta Laczó)
This paper reconsiders matching to share risk. We study a marriage problem (i.e. two-sided, one-to-one matching) with non-transferable utility in a dynamic setting. With efficient risk sharing within the household, matching is negative assortative with respect to partners’ risk attitudes (Chiappori and Reny, 2006). We allow for limits to commitment such as divorce and provide conditions under which the aforementioned assortative matching result is reversed. We show that when the couple faces no aggregate risk, all stable matchings must be positive assortative. The intuition behind this results is that less risk-averse agents cannot credibly promise large transfers, since the punishment of foregoing future insurance after divorce is less costly for them.
Existing literature on risk sharing under ambiguity aversion is shown to consider only constrained-efficient allocations. Under complete markets and common beliefs, any additional information can be ignored under expected utility. This is shown to be no longer true under ambiguity aversion. The paper rationalizes trade in speculative securities without imposing heterogeneous beliefs or market frictions. Variance swaps, for instance, may serve as an instrument to hedge ex- posure to unknown second moments of the underlying macroeconomic risk.
Socially efficient discounting under ambiguity aversion (with Christian Gollier)
We provide sufficient conditions under which ambiguity aversion decreases the social discount rate when future consumption growth is uncertain. We identify two effects. The first is equivalent to a distortion of beliefs. This pessimism effect requires joint restrictions on the growth process and the agent’s preferences to be signed. The second effect is novel and similar to prudence under expected utility. We show that this decreases the rate if and only if preferences satisfy decreasing absolute ambiguity aversion. Calibrations suggest a net ambiguity effect between –2.5 and –4.5 percentage points for the rate at which cash flows occurring in 30 years should be discounted.
UAB, Facultat d'Economia i Empresa Edifici B Dept. Economia i Història Econòmica 08193 Bellaterra (Barcelona) Spain
