Karaivanov Alexander, Townsend Robert M
Simon Fraser University, MIT.
Econometrica. 2014 May;82(3):887-959. doi: 10.3982/ECTA9126.
We formulate and solve a range of dynamic models of constrained credit/insurance that allow for moral hazard and limited commitment. We compare them to full insurance and exogenously incomplete financial regimes (autarky, saving only, borrowing and lending in a single asset). We develop computational methods based on mechanism design, linear programming, and maximum likelihood to estimate, compare, and statistically test these alternative dynamic models with financial/information constraints. Our methods can use both cross-sectional and panel data and allow for measurement error and unobserved heterogeneity. We estimate the models using data on Thai households running small businesses from two separate samples. We find that in the rural sample, the exogenously incomplete saving only and borrowing regimes provide the best fit using data on consumption, business assets, investment, and income. Family and other networks help consumption smoothing there, as in a moral hazard constrained regime. In contrast, in urban areas, we find mechanism design financial/information regimes that are decidedly less constrained, with the moral hazard model fitting best combined business and consumption data. We perform numerous robustness checks in both the Thai data and in Monte Carlo simulations and compare our maximum likelihood criterion with results from other metrics and data not used in the estimation. A prototypical counterfactual policy evaluation exercise using the estimation results is also featured.
我们构建并求解了一系列受约束的信贷/保险动态模型，这些模型考虑了道德风险和有限承诺。我们将它们与完全保险和外生不完全金融制度（自给自足、仅储蓄、单一资产的借贷）进行比较。我们基于机制设计、线性规划和最大似然法开发了计算方法，以估计、比较并对这些具有金融/信息约束的替代动态模型进行统计检验。我们的方法既可以使用横截面数据，也可以使用面板数据，并考虑测量误差和未观察到的异质性。我们使用来自两个不同样本的泰国小企业家庭数据来估计这些模型。我们发现，在农村样本中，外生不完全的仅储蓄和借贷制度在使用消费、商业资产、投资和收入数据时拟合效果最佳。家庭和其他网络有助于在那里实现消费平滑，就像在道德风险约束制度中一样。相比之下，在城市地区，我们发现机制设计的金融/信息制度约束明显较少，道德风险模型对商业和消费数据的综合拟合效果最佳。我们在泰国数据和蒙特卡洛模拟中都进行了大量稳健性检验，并将我们的最大似然准则与其他指标以及估计中未使用的数据的结果进行比较。还展示了一个使用估计结果的典型反事实政策评估练习。
