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Equilibrium heterogeneous-agent models as measurement tools: Some Monte Carlo evidence
Cozzi, Marco - 2011
-agent macroeconomic models in the presence of sampling variability. The calibration procedure leads to the welfare analysis being … conducted with the wrong parameters. The ability of the calibrated model to correctly predict the welfare changes induced by a … model always predict the right sign of the welfare effects. Quantitatively, the maximum errors made in evaluating a policy …
Persistent link: https://www.econbiz.de/10010290374
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Precautionary savings and wealth inequality: A global sensitivity analysis
Cozzi, Marco - 2011
This paper applies Canova JAE 1994 methodology to perform a thorough sensitivity analysis for the Aiyagari QJE 1994 economy. This is a calibrated GE model with incomplete markets and uninsurable income risk, designed to quantify the size of precautionary savings and the degree of wealth...
Persistent link: https://www.econbiz.de/10010290327
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Optimal unemployment insurance in GE: A robust calibration approach
Cozzi, Marco - 2011
' configurations, the welfare maximizing replacement rate does not decrease with the level of MH. The qualitative patterns and … bundle, and the intertemporal elasticity of substitution have a first order impact on the average welfare. The determination …
Persistent link: https://www.econbiz.de/10010290350
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Equilibrium heterogeneous-agent models as measurement tools : some Monte Carlo evidence
Cozzi, Marco - 2011
-agent macroeconomic models in the presence of sampling variability. The calibration procedure leads to the welfare analysis being … conducted with the wrong parameters. The ability of the calibrated model to correctly predict the welfare changes induced by a … model always predict the right sign of the welfare effects. Quantitatively, the maximum errors made in evaluating a policy …
Persistent link: https://www.econbiz.de/10009308307
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Heterogeneity in macroeconomics and the minimal econometricinterpretation for model comparison
Cozzi, Marco - 2014
macroeconomic policies and welfare analysis. It is also found that the other models display similar posterior odds, with the Bayes … correlation between consumption and income. This finding suggests that the magnitude of welfare effects computations is likely to …
Persistent link: https://www.econbiz.de/10011380826
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Risk aversion heterogeneity, risky jobs and wealth inequality
Cozzi, Marco - 2011
This paper considers the macroeconomic implications of a set of empirical studies finding a high degree of dispersion in preference heterogeneity. It develops a model with both uninsurable idiosyncratic income risk and risk aversion heterogeneity to quantify their effects on wealth inequality....
Persistent link: https://www.econbiz.de/10010290401
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Heterogeneity in macroeconomics and the minimal econometricinterpretation for model comparison
Cozzi, Marco - 2014
macroeconomic policies and welfare analysis. It is also found that the other models display similar posterior odds, with the Bayes … correlation between consumption and income. This finding suggests that the magnitude of welfare effects computations is likely to …
Persistent link: https://www.econbiz.de/10010434845
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Risk aversion heterogeneity, risky jobs and wealth inequality
Cozzi, Marco - 2011
This paper considers the macroeconomic implications of a set of empirical studies finding a high degree of dispersion in preference heterogeneity. It develops a model with both uninsurable idiosyncratic income risk and risk aversion heterogeneity to quantify their effects on wealth inequality....
Persistent link: https://www.econbiz.de/10009683671
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Optimal level of government debt - matching wealth inequality and the fiscal sector
Vogel, Edgar - 2014
effects of alternative government debt levels and adjustment policies on macroeconomic aggregates and welfare. We find that …
Persistent link: https://www.econbiz.de/10011605710
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Optimal consumption and investment with Epstein-Zin recursive utility
Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2016
We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jacobi-Bellman equation by a fixed point argument and makes it possible to...
Persistent link: https://www.econbiz.de/10012064266