消费计量与保险限度：来自澳大利亚的证据

IF 5.3 2区经济学 Q1 BUSINESS, FINANCE

Pacific-Basin Finance Journal Pub Date : 2025-10-01 DOI:10.1016/j.pacfin.2025.102956

Jennifer Z. Sun

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引用次数: 0

摘要

本研究使用来自澳大利亚家庭、收入和劳动力动态（HILDA）调查的家庭和个人层面的面板数据构建了分类消费措施，以检验完全消费保险假设。结果表明，尽管部分家庭内部风险分担，但个人消费对特殊的收入冲击有反应。为了加强实证识别，本文引入了特异风险的新指标，包括非自愿失业和财务压力。总的来说，证据表明，不完全保险和异质性风险暴露破坏了代表-代理假设，加强了基于微观消费数据的资产定价测试的必要性。

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Consumption measurement and the limits of insurance: Evidence from Australia

This study constructs disaggregated consumption measures using household- and individual-level panel data from the Household, Income and Labour Dynamics in Australia (HILDA) survey to examine the full consumption insurance hypothesis. The results reject full insurance, showing that individual consumption responds to idiosyncratic income shocks despite partial within-household risk-sharing. To strengthen empirical identification, new proxies for idiosyncratic risk are introduced, including involuntary job loss and financial stress. Overall, the evidence suggests that incomplete insurance and heterogeneous risk exposure undermine representative-agent assumptions, reinforcing the need for asset pricing tests based on micro-level consumption data.

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来源期刊

Pacific-Basin Finance Journal BUSINESS, FINANCE-

CiteScore

6.80

自引率

6.50%

发文量

157

期刊介绍： The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.