Legislation dealing with consumer default has consistently struggled with an important trade-off: more debt forgiveness directly benefits households but indirectly makes credit more expensive. Complicating the issue is that part of the risk households face is aggregate risk. This paper asks,...

We study the asset pricing implications of a general equilibrium Lucas endowment economy inhabited by two agents with habit formation preferences. Preferences are modeled either as internal or external habits. We allow for agents' heterogeneity in relative risk aversion and habit strength. We...

We explicitly solve for the aggregate asset prices in a general equilibrium Lucas endowment economy with two agents who are heterogeneous in their time-nonseparable preferences. Time-nonseparability is modeled either as internal or external habit preferences. Equilibrium quantities -- equity...

Theoretical formulations of dynamic heterogeneous-agent economies typically include a distribution as an aggregate state variable. This paper introduces a method for computing equilibrium of these models by including a distribution directly as a state variable if it is finite-dimensional or a...

This paper provides a quantitative analysis of hypothetical replacements of existing tax arrangements applied to superannuation (Australia's term for private pensions) with traditional EET and TEE regimes. These taxation regimes exempt pension fund earnings from any taxation and tax either...

The world will experience dramatic demographic change over this century. This paper examines the impacts of this global demographic change on the Australian economy at both the aggregate and sectoral levels in a global multi-region and multi-sector general equilibrium model. Using a detailed...

The world has been experiencing dramatic demographic change since the 1950s, with almost all countries facing ageing challenges this coming century. However, the timing and speed of this demographic transition are significantly asymmetric across countries. This paper examines the impacts of...

This paper provides a framework to endogenize rates of return for risk-free bonds and risky capital in an overlapping generation model. The rate of return on capital is endogenized by introducing idiosyncratic production shocks to avoid computation challenges associated with aggregate production...

The paper proposes a numerical solution method for general equilibrium models with a continuum of heterogeneous agents, which combines elements of projection and of perturbation methods. The basic idea is to solve first for the stationary solution of the model, without aggregate shocks but with...

The theoretical literature presumes generational risk is large enough to merit study and that such risk can be meaningfully shared via appropriate government policy. This paper questions these propositions. It develops an 80-period OLG model to directly measure generational risk and the extent...