We consider the optimality of various institutional arrangements for agencies that conduct macro-prudential regulation and monetary policy. When a central bank is in charge of price and financial stability, a new time inconsistency problem may arise. Ex-ante, the central bank chooses the...

This paper evaluates approximation methods to make manageable the numerical solution of overlapping generation models with aggregate risk. The paper starts with a model in which households maximize expected utility over their life cycle. Instantaneous utility is characterized by constant...

We develop and test a simple model of limited attention in intertemporal choice. The model posits that individuals fully attend to consumption in all periods but fail to attend to some future lumpy expenditure opportunities. This asymmetry generates some predictions that overlap with models of...

On average, "young" people underestimate whereas "old" people overestimate their chances to survive into the future. We adopt a Bayesian learning model of ambiguous survival beliefs which replicates these patterns. The model is embedded within a non-expected utility model of life-cycle...

This paper quantifies the business cycle effects and distributional implications of pension fund restoration policy after the economy has been hit by a financial shock. We extend a canonical New-Keynesian dynamic general equilibrium model with a tractable demographic structure and a pension...

Precautionary savings have often been analyzed with regard to its impact on current savings. This work focuses instead on the impact of uncertainty on savings under bequest form. We thus turn the focus on estimating whether and to what extent income variability does have an effect on post-mortem...

In this paper we extend the traditional life cycle model of saving and portfolio choice to allow for possible long-term unemployment spells to have permanent effects on subsequent labor income prospects. The risk of losing future labor income could imply strong human capital erosion for the...

We provide a systematic analysis of the properties of individual returns to wealth using twelve years ofpopulation data from Norway's administrative tax records. We document a number of novel results.First, during our sample period individuals earn markedly different average returns on their...

Hyperbolic discounting with naiveté is widely believed to provide a better explanation than exponential discounting of why people borrow so much and why they wait so long to save for retirement. We reach a different set of conclusions. We show that if financial planning is enriched to include...

I investigate a dynamic life-cycle strategic asset allocation and consumption problem under model uncertainty, where both inflation rate and income growth rate are assumed to be estimated with errors. I present a feasible boundary for the uncertainty aversion parameter, which measures the...