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Heterogenous Agents and Incomplete Markets : An Exploration
Josheski, Dushko; Miteva, Natasha; Boshkov, Tatjana - 2023
This paper will review the issue of heterogeneity of agents and incomplete markets in macroeconomics. Central idea of this paper is the notion that representative agent models were wrong turn for modern macroeconomics especially for general equilibrium model (some individuals are some are not...
Persistent link: https://www.econbiz.de/10014254759
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Household income risk, nominal frictions, and incomplete markets : conference paper
Bayer, Christian; Luetticke, Ralph; Lien Pham; Tjaden, … - 2013
This paper examines the effects of changes in uncertainty of household income on the macroeconomy. Households face … substantial idiosyncratic income risk that is up to two orders of magnitude larger than total factor productivity uncertainty … constrained by the zero lower bound. Our results imply that household income uncertainty may be an important factor in explaining …
Persistent link: https://www.econbiz.de/10010340551
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Consumer default with complete markets : default-based pricing and finite punishment
Mateos-Planas, Xavier; Seccia, Giulio - 2013
extended model with an infinite horizon, idiosyncratic risk and more realistic assumptions is used to demonstrate the general …
Persistent link: https://www.econbiz.de/10010210815
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Consumption choices and earnings expectations : empirical evidence and structural estimation
Stoltenberg, Christian; Uhlendorff, Arne - 2023
In this paper, we document that households' consumption expenditures crucially depend on their expected earnings - even after controlling for realized earnings, wealth and time-invariant unobserved characteristics such as permanent income and over-confidence. To explain this evidence, we develop...
Persistent link: https://www.econbiz.de/10014249642
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Consumption choices and earnings expectations : empirical evidence and structural estimation
Stoltenberg, Christian; Uhlendorff, Arne - 2022
In this paper, we document that households’ consumption expenditures depend on their expected earnings - even after controlling for realized earnings and wealth. To explain this evidence, we develop and structurally estimate a standard-incomplete markets model in which rational households...
Persistent link: https://www.econbiz.de/10013329447
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Consumption choices and earnings expectations : empirical evidence and structural estimation
Stoltenberg, Christian; Uhlendorff, Arne - 2022
In this paper, we document that households' consumption expenditures depend on their expected earnings - even after controlling for realized earnings and wealth. To explain this evidence, we develop and structurally estimate a standard-incomplete markets model in which rational households...
Persistent link: https://www.econbiz.de/10013332707
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Advance information and consumption insurance : evidence from panel data
Pedroni, Marcelo; Singh, Swapnil; Stoltenberg, Christian - 2022 - Preliminary, April 15, 2022
We investigate whether US households possess advance information about their future income and what this means for consumption insurance. Based on insights from a theoretical model, we propose a new test to detect advance information, which requires only panel data on consumption and income....
Persistent link: https://www.econbiz.de/10013186823
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Risk aversion heterogeneity, risky jobs and wealth inequality
Cozzi, Marco - 2011
in preference heterogeneity. It develops a model with both uninsurable idiosyncratic income risk and risk aversion … heterogeneity to quantify their effects on wealth inequality. The results show that with the available estimates of the risk …, the share of wealth held by the top 1% is still substantially underestimated. It is also shown that models without risk …
Persistent link: https://www.econbiz.de/10009683671
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Estimating labor-supply elasticities with joint borrowing constraints of couples
Bredemeier, Christian; Gravert, Jan; Jüßen, Falko - 2016
Estimates of Frisch labor-supply elasticities are biased in the presence of borrowing constraints. We show that this estimation bias is less pronounced for secondary than for primary earners. The reason is that, in households with two earners and joint borrowing constraints, wage-rate...
Persistent link: https://www.econbiz.de/10011543948
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Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk
Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - First version: March 6, 2014; this version: June 1, 2014
We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that … with recursive preferences and unspanned risk. Our setting is not restricted to affine asset price dynamics. Numerical …
Persistent link: https://www.econbiz.de/10010359861