Showing 1 - 10 of 22,623
This paper, using the different alternative methods of dynamic optimization (the Lagrange/Kuhn-Tucker (LKT) method, the substitution method, the Hamiltonian method, and the dynamic programming approach) derives the conditions that must be satisfied by the solution to the so-called Ramsey...
Persistent link: https://www.econbiz.de/10010333543
This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors’ information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the...
Persistent link: https://www.econbiz.de/10010368587
Assets in tax-deferred retirement accounts (TDA) and housing are two major components of household portfolios. In this paper, we develop a life-cycle model to examine the interaction between households' use of TDA and their housing decisions. The model generates life-cycle patterns of home...
Persistent link: https://www.econbiz.de/10011564704
Based on OECD evidence, equity/housing-price busts and credit crunches are followed by substantial increases in public consumption. These increases in unproductive public spending lead to increases in distortionary marginal taxes, a policy in sharp contrast with presumably optimal Keynesian...
Persistent link: https://www.econbiz.de/10011936366
This paper shows that the value function describing efficient risk sharing with limited commitment is not necessarily differentiable everywhere. We link differentiability of the value function to history dependence of efficient allocations and provide sufficient conditions for both properties.
Persistent link: https://www.econbiz.de/10011940667
This note extends the finding of Benhabib and Rusticchini (1994) who provide a class of SDGE models, whose solution is characterized by a constant savings rate. We show that this class of models may be interpreted as a standard representative agent SDGE model with costly adjustment of capital...
Persistent link: https://www.econbiz.de/10010275810
Persistent link: https://www.econbiz.de/10013359294
We explore how members of a collective pension scheme can share inflation risks in the absence of suitable financial market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various participants of a collective pension scheme than would be...
Persistent link: https://www.econbiz.de/10014321763
A continuous-time sequential job search model with savings and CARA preferences is solved analytically without resorting to unlimited borrowing and real-valued consumption. I isolate the effects of limited borrowing and nonnegative consumption as well as risk-aversion on the reservation wage by...
Persistent link: https://www.econbiz.de/10010427557
Persistent link: https://www.econbiz.de/10010311985