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Academic macroeconomics and the research department of central banks have come to be dominated by Dynamic, Stochastic, General Equilibrium (DSGE) models based on micro-foundations of optimising representative agents with rational expectations. We argue that the dominance of this particular sort...
Persistent link: https://www.econbiz.de/10013125067
This paper aims to provide a perspective on the ideal tax system using insights from optimal-tax theory supplemented …
Persistent link: https://www.econbiz.de/10013084904
We formulate a two-period life-cycle model of saving, labor supply, and human capital investments when individuals differ in ability and initial wealth. Borrowing constraints prevent individuals to optimally smooth consumption over the life-cycle and to optimally invest in human capital. We show...
Persistent link: https://www.econbiz.de/10013084907
This paper analyzes optimal linear commodity taxes joint with non-linear income taxes. We provide optimal tax rules based on empirically observable elasticities. We demonstrate that commodities should be taxed/subsidized if doing so boosts labor supply. The critical role of commodity taxation is...
Persistent link: https://www.econbiz.de/10013085745
This paper develops a model for dynamic binary choice panel data that allows for unobserved heterogeneity to be arbitrarily correlated with covariates. The model is of the exponential type. We derive moment conditions that enable us to eliminate the unobserved heterogeneity term and at the same...
Persistent link: https://www.econbiz.de/10013089182
belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets …-valued), and another regarding his/her expectations of the future price of that asset. Responses to these two questions are then … between the agents expectations of price changes and their asset valuation. Double question surveys on equity, gold and house …
Persistent link: https://www.econbiz.de/10012963776
concludes with an empirical application to consumer price inflation in Germany, France and Italy, and re-examines the extent to …
Persistent link: https://www.econbiz.de/10013038262
This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...
Persistent link: https://www.econbiz.de/10013153425
This paper analyzes optimal linear taxes on labor income and savings in a standard two-period life-cycle model with endogenous leisure demands in both periods and non-insurable income risks. Households are subject to skill shocks in both periods of the life-cycle. We allow for completely general...
Persistent link: https://www.econbiz.de/10013155825
This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...
Persistent link: https://www.econbiz.de/10012955752