This paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agents coefficient of relative risk aversion to vary with the underlying economys growth rate. Existence of equilibrium is proved and its asymptotic properties...

Was the increase in income inequality in the US due to permanent shocks or merely to anincrease in the variance of transitory shocks? The implications for consumption and welfaredepend crucially on the answer to this question. We use CEX repeated cross-section data onconsumption and income to...

A deferred annuity typically includes an option-like right for thepolicyholder. At the end of the deferment period, he may either choose toreceive annuity payouts, calculated based on a mortality table agreed to atcontract inception, or receive the accumulated capital as a lump sum.Considering...

This paper argues that observations of non-stationary choice behavior need notnecessarily imply specific properties of the individual’s discount function. As weshow, the observed “anomalies” in intertemporal choice can alternatively be explained by an individual’s perception of the risk...

Private wealth holdings are likely to become an increasingly important determinant in the jobexit decision of elderly workers. Net wealth may correlate with worker’s characteristics thatalso determine the exit out of a job. It is therefore important to include a rich set of...