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Asset returns in an endogenous growth model with incomplete markets

Krebs, Tom; Wilson, Bonnie - 2002

This paper analyzes a class of stochastic endogenous growth models with uninsurable idiosyncratic income risk. The model economy is populated by infinitely-lived households who own and operate their own business, work for a stock company, and participate in stock and bond markets. Households...

Persistent link: https://www.econbiz.de/10010318914

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

Accounting for the racial property crime gap in the US: A quantitative equilibrium analysis

Cozzi, Marco - 2010

This paper studies the effects of both labor market conditions and asset poverty on the property crimes involvement of American males. Since the mid 60's the property crimes arrest rate has been four times higher for black males if compared to white ones. Another set of stylised facts show for...

Persistent link: https://www.econbiz.de/10010290336

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

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

Incomplete-Market Equilibria Solved Recursively on anEvent Tree

Dumas, Bernard; Lyasoff, Andrew - National Centre of Competence in ResearchFinancial … - 2008

We develop a method that allows one to compute incomplete-market equilibria routinely forMarkovian equilibria (when they exist). The main difficulty to be overcome arises from the setof state variables. There are, of course, exogenous state variables driving the economy but, in anincomplete...

Persistent link: https://www.econbiz.de/10005868691

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

Risk aversion heterogeneity, risky jobs and wealth inequality

Cozzi, Marco - 2011

Persistent link: https://www.econbiz.de/10009683671

Higher education funding, welfare and inequality in equilibrium

Mellior, Gustavo - 2020 - This draft: October 20, 2020

on welfare (on aggregate and at the individual level) and wealth inequality. A heterogeneous agent model in continuous … we see that there can be large gains in welfare and significant drops in inequality by moving to a system with more … student loans become excessive. While I identify large steady state welfare gains from more public sector financing, I show …

Persistent link: https://www.econbiz.de/10012308010

Computable general equilibrium with financial markets

Kubler, Felix - In: Economic Theory 18 (2001) 1, pp. 73-96

There are a wide variety of theoretical general equilibrium models with incomplete security markets. In this paper we give a general recipe for using homotopy algorithm to compute equilibria in these models. In many models, taxes, transaction-costs or other market frictions introduce the...

Persistent link: https://www.econbiz.de/10005155368