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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/10010290374

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

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

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/10011380826

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

Optimal level of government debt - matching wealth inequality and the fiscal sector

Vogel, Edgar - 2014

effects of alternative government debt levels and adjustment policies on macroeconomic aggregates and welfare. We find that …

Persistent link: https://www.econbiz.de/10011605710

Optimal consumption and investment with Epstein-Zin recursive utility

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 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/10012064266

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/10011932786

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/10010317575

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