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What we don’t know doesn’t hurt us: rational inattention and the permanent income hypothesis in general equilibrium
Nie, Jun; Luo, Yulei; Wang, Gaowang; Young, Eric R. - Federal Reserve Bank of Kansas City - 2014
impatience. We then explore how RI affects the equilibrium joint dynamics of consumption, income and wealth, and find that …
Persistent link: https://www.econbiz.de/10011185458
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What We Don't Know Doesn't Hurt Us: Rational Inattention and the Permanent Income Hypothesis in General Equilibrium
Luo, Yulei; Nie, Jun; Wang, Gaowang; Young, Eric - Volkswirtschaftliche Fakultät, … - 2014
consumption, income and wealth, and find that elastic attention can make the model fit the data better. We finally show that the …
Persistent link: https://www.econbiz.de/10011108002
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The Implications of Lower Down Payments on Consumption Volatility
Farr, Christopher; Luengo-Prado, Maria J. - Society for Computational Economics - SCE - 2001
We examine the effects of decreasing down payment requirements on consumption volatility within a model which generalizes the standard buffer-stock model of saving to accommodate durables, nondurables and a collateralized liquidity constraint. We consider both a version of the model without...
Persistent link: https://www.econbiz.de/10005345569
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"The Method of Endogenous Gridpoints in Theory and Practice"
White, Matthew N. - Department of Economics, Lerner College of Business and … - 2015
The method of endogenous gridpoints (ENDG) significantly speeds up the solution to dynamic stochastic optimization problems with continuous state and control variables by avoiding repeated computations of expected outcomes while searching for optimal policy functions. While the method has been...
Persistent link: https://www.econbiz.de/10011202990
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Asset Pricing under Rational Learning about Rare Disasters
Koulovatianos, Christos; Wieland, Volker - C.E.P.R. Discussion Papers - 2011
This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors' information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the...
Persistent link: https://www.econbiz.de/10009201120
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Asset pricing under rational learning about rare disasters
Koulovatianos, Christos; Wieland, Volker - House of Finance, Goethe Universität Frankfurt am Main - 2011
This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors’ information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the...
Persistent link: https://www.econbiz.de/10010982194
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Is it really good to annuitize?
Feigenbaum, James; Gahramanov, Emin; Tang, Xueli - In: Journal of Economic Behavior & Organization 93 (2013) C, pp. 116-140
profile that is too flat. Accidental bequests transfer wealth from the old to the young, steepening the consumption profile …
Persistent link: https://www.econbiz.de/10010702935
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Modelling Social Learning in an Agent-Based New Keynesian Macroeconomic Model
SALLE, Isabelle; ZUMPE, Martin; YILDIZOGLU, Murat; … - Groupe de Recherche en Économie Théorique et … - 2012
We propose an agent-based macroeconomic model (ABM) inspired by the New Keynesian general equilibrium model (NKM, Woodford 2003). We analyse the aggregate economic dynamics resulting from social learning of agents (households and firms). Households’ labour supply and consumption demand, as...
Persistent link: https://www.econbiz.de/10010579017
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The effect of housing and stock market wealth on consumption in emerging and developed countries
Ahec Šonje, Amina; Čeh Časni, Anita; Vizek, Maruška - In: Economic Systems 38 (2014) 3, pp. 433-450
This study examines the long- and short-run relationship between private consumption, housing wealth, stock market … wealth and income. In order to asses this relationship empirically, we use pooled mean group estimators of dynamic … support the existence of long- and short-run stock market wealth effects in both groups of developed countries, with the …
Persistent link: https://www.econbiz.de/10011040297
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Discrete-Time Optimization of Consumption and Investment Decisions Given Intolerance for a Decline in Standard of Living
Bhandari, Amit V. - 2008
consumption perpetuity at the current consumption rate and then allocates the remaining wealth under a state-dependent, adjusted …
Persistent link: https://www.econbiz.de/10012725473