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Consumption Partial Insurance in the Presence of Tail Income Risk

Ghosh, Anisha; Theloudis, Alexandros - 2023

income risk matters substantially for consumption …

Persistent link: https://www.econbiz.de/10014349877

Perceived versus calibrated income risks in heterogeneous-agent consumption models

Wang, Tao - 2023 - Last updated: December 27, 2023

calibrate the size of income risk to match panel data on household income dynamics. But, for several reasons, what is measured … as risk from such data may not correspond to the risk perceived by the agent. This paper instead uses data from the … differential precautionary saving motives. I also explore the implications of the fact that the perceived risk is lower than the …

Persistent link: https://www.econbiz.de/10014456727

Neoclassical Growth Transition Dynamics with One-Sided Commitment

Krueger, Dirk; Li, Fulin; Uhlig, Harald - National Bureau of Economic Research - 2024

accumulation in which households face idiosyncratic income risk and cannot commit to repay their debt. Therefore, even though a … equilibrium features imperfect insurance and a non-degenerate cross-sectional consumption distribution. When household labor …

Persistent link: https://www.econbiz.de/10015056206

A general equilibrium model of earnings, income, and wealth

Glawion, René; Haller, Frédéric; Puche, Marc - 2020

We develop a general equilibrium model of earnings, income and wealth heterogeneity in continuous time. We extend existing analytical and numerical methods to solve the model. We calibrate the model to U.S. data and find that stochastic interest rates provide a mechanism to link earnings, income...

Persistent link: https://www.econbiz.de/10012426925

Endogenous completeness of diffusion driven equilibrium markets

Hugonnier, Julien; Malamud, Semyon; Trubowitz, Eugene - 2009

We study the existence of equilibria with endogenously complete markets in a continuous-time, heterogenous agents economy driven by a multidimensional diffusion process. Our main results show that if prices are real analytic as functions of time and the state variables of the model then a...

Persistent link: https://www.econbiz.de/10003971255

Rational asset pricing bubbles and portfolio constraints

Hugonnier, Julien - 2010

This article shows that the presence of portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can bene t from the corresponding limited arbitrage opportunities. Furthermore, it is shown that when they are...

Persistent link: https://www.econbiz.de/10003966068

Learning in infinite horizon strategic market games with collateral and incomplete information

Brangewitz, Sonja; Giraud, Gaël - 2011

We study a strategic market game with finitely many traders, infinite horizon and real assets. To this standard framework (see, e.g. Giraud and Weyers, 2004) we add two key ingredients: First, default is allowed at equilibrium by means of some collateral requirement for financial assets; second,...

Persistent link: https://www.econbiz.de/10009380138

Complete and incomplete markets with short-sale constraints

Giménez, Eduardo L. - 2001

This paper argues that the introduction of a short-sale constraint in the Arrow-Radner frameworkinvalidates standard definitions of complete and incomplete markets. In this constrained set-up,two threshold values with familiar properties arise.The case of a zero short-sale bound set on some...

Persistent link: https://www.econbiz.de/10011316880

Existence of financial equilibria in continuous time with potentially complete markets

Riedel, Frank; Herzberg, Frederik - 2010

We prove that in smooth Markovian continuous-time economies with potentially complete asset markets, Radner equilibria with endogenously complete markets exist. -- Potentially complete market ; Continuous-time financial ; market ; Radner equilibrium ; Itô diffusion ; Analytic transition density

Persistent link: https://www.econbiz.de/10008757952

Undiversifiable Returns in a CAPM Economy

Braila, Peghe - 2011

The effects of endogenous undiversifiable investment and market structure changes on security pricing are analyzed within the GEI-CAPM (General Equilibrium with Incomplete Markets Capital Asset Pricing Model). Both the mutual fund and security market line theorems are extended conditional to a...

Persistent link: https://www.econbiz.de/10013128151