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Equilibrium Heterogeneous-Agent models as measurement tools : some Monte Carlo evidence

Cozzi, Marco - In: Journal of economic dynamics & control 39 (2014), pp. 208-226

Persistent link: https://www.econbiz.de/10010388749

Equilibrium heterogeneous-agent models as measurement tools : some Monte Carlo evidence

Cozzi, Marco - 2011

-agent macroeconomic models in the presence of sampling variability. The calibration procedure leads to the welfare analysis being … conducted with the wrong parameters. The ability of the calibrated model to correctly predict the welfare changes induced by a … model always predict the right sign of the welfare effects. Quantitatively, the maximum errors made in evaluating a policy …

Persistent link: https://www.econbiz.de/10009308307

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

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/10009683671

Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - First version: March 6, 2014; this version: June 1, 2014

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...

Persistent link: https://www.econbiz.de/10010359861

Recursive equilibrium in Krusell and Smith (1998)

Cao, Dan Vu - 2018

This paper uses the tools developed in the literature on dynamically incomplete markets with finite agents to study the large economy with a continuum of agents and both aggregate and idiosyncratic shocks in Krusell and Smith (1998). It establishes the existence of sequential competitive...

Persistent link: https://www.econbiz.de/10011919029

On risk induced by technical change

Ünveren, Burak - In: International journal of business and economic sciences … 10 (2017) 1, pp. 42-48

Purpose: The purpose of this paper is to analyze the efficiency loss due to incomplete financial markets when risk is induced by technological uncertainty. Design/methodology/approach: A worker-capitalist general equilibrium model is developed. It is assumed that future technical change is a...

Persistent link: https://www.econbiz.de/10011649413

Optimal consumption and investment with Epstein-Zin recursive utility

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2016 - This version: May 31, 2016

We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jacobi-Bellman equation by a fixed point argument and makes it possible to...

Persistent link: https://www.econbiz.de/10012061099

The influence of heterogeneous preferences on asset prices in an incomplete market model

Niehaus, Frank - 2001

In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the...

Persistent link: https://www.econbiz.de/10011526229

Approximating equilibria with ex-post heterogeneity and aggregate risk

Pröhl, Elisabeth - 2017

Dynamic stochastic general equilibrium models with ex-post heterogeneity due to idiosyncratic risk have to be solved numerically. This is a nontrivial task as the cross-sectional distribution of endogenous variables becomes an element of the state space due to aggregate risk. Existing global...

Persistent link: https://www.econbiz.de/10011875645