We develop an analytical framework designed to solve and analyze heterogeneous-agent models that endogenously generate fat-tailed wealth distributions. We exploit the asymptotic linearity of policy functions and the analytical characterization of the Pareto exponent to augment the conventional...

We develop an analytical framework designed to solve and analyze heterogeneous‐agent models that endogenously generate fat‐tailed wealth distributions. We exploit the asymptotic linearity of policy functions and the analytical characterization of the Pareto exponent to augment the...

We develop an analytical framework designed to solve and analyze heterogeneous-agent models that generate fat-tailed wealth distributions. We exploit the asymptotic linearity of policy functions and the analytical characterization of the Pareto exponent to augment the conventional solution...

State-of-the-art algorithms for solving sovereign debt models with endogenous default rely on value function iterations. These algorithms are consequently very slow and quickly become intractable, even for a state space of dimension as low as three. This paper shows how to adapt the endogenous...