We model an infinite horizon trading game of a limit order market with informed traders. Agents with a private and common value motive for trade randomly arrive in a market and may either post prices (submit limit orders) or accept posted prices (submit market orders). If their orders have not...

We analuze a general-equilibrium asset pricing model where a small subset of the consumers/investors have a short-run "urge to save." That is, their attitudetoward consumption in the long run is a standard one--they do place zero weight on consumption far enough out in the future--but their...

In this paper, we reconcile two opposing views about the elasticity of intertemporal substitution (EIS), a parameter that plays a key role in macroeconomic analysis. On the one hand, empirical studies using aggregate consumption data typically find that the EIS is close to zero (Hall 1988). On...

Abstract This paper studies the role played by differences in risk-aversion in a affecting the long-run distribution of wealth across agents in the context of a stochastic growth model with complete markets. The economy is populated by two types of Epstein-Zin agents who differ only in their...

This paper demonstrates how a new framework, using the necessary conditions for a locational equilibrium, offers the potential to transform this policy landscape. We demonstrate in this paper that the framework can be used as part of a benefit analysis of current environmental policy...