Empirically, the income share is procyclical for the low-income groups and acyclical for the top 5%. We find that business cycle models should consider overlapping generations and elastic labor supply in order to replicate this finding

The conditional equity premium in the model with production is often approximated by assuming a jointly log-normal distribution of the marginal rate of substitution in consumption and the marginal productivity of capital. We show that, for standard parameterization, this premium is about one...

The paper analyzes the dynamic effects of a total factor productivity shock and an interest rate risk premium shock in a highly indebted open economy. In contrast to the standard open economy framework, search unemployment and wage bargaining are introduced. We find that a negative total factor...

De Paoli, Scott, and Weeken (2010, Asset pricing implications of a New Keynesian model. Journal of Economic Dynamics and Control 34, 2056-73) study equity and bonds prices in a New Keynesian model with sticky nominal prices. This note argues that their model generates a behavior of the labor...

This paper presents a new model of oligopoly in general equilibrium and explores its implications for positive and normative aspects of international trade. Assuming “continuum-Pollak” preferences, the model allows for consistent aggregation over a continuum of sectors, in each of which a...

We show that dealers' limited market participation, coupled with an informational friction resulting from lack of market transparency, can make liquidity demand upward sloping, inducing strategic complementarities: traders demand more liquidity when the market becomes less liquid, fostering...

We develop a macroeconomic framework in which firms are large and have market power with respect to both products and labor. Each firm maximizes a share-weighted average of shareholder utilities, which makes the equilibrium independent of price normalization. In a one-sector economy, if returns...

This paper considers cost-reducing R&D investment with spillovers in a Cournot oligopoly with overlapping ownership. We show that overlapping ownership leads to internalization of rivals' profits by firms and find that, for demand not too convex, increases in overlapping ownership increase...

According to empirical studies, the life cycle of labor supply volatility exhibits a U-shaped pattern. This may lead to the conclusion that demographic change induces a drop in output volatility. We present an overlapping generations model that replicates the empirically observed pattern and...