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Pareto extrapolation: An analytical framework for studying tail inequality

Gouin-Bonenfant, Émilien; Akira Toda, Alexis - In: Quantitative Economics 14 (2023) 1, pp. 201-233

characterization of the Pareto exponent to augment the conventional solution algorithm with a theory of the tail. Our framework allows …

Persistent link: https://www.econbiz.de/10014536913

Consumption-Based CAPM and Option Pricing under Jump-Diffusion Uncertainty

Kusuda, Koji - 2003

In Kusuda [45], we developed equilibrium analysis in security market economy with jump-Wiener information where no finite number of securities can complete markets. Assuming approximately complete markets (Björk et al. [11] [12]) in which a continuum of bonds are traded and any contingent claim...

Persistent link: https://www.econbiz.de/10010263367

Extreme value theory as a theoretical background for power law behavior

Alfarano, Simone; Lux, Thomas - 2010

theory, which provide a statistical justification for the emergence of power laws as limiting behavior for extreme … fluctuations. The remarkable generality of the theory allows to abstract from the details of the system under investigation, and … therefore allows its application in many diverse fields. Moreover, this theory offers new powerful techniques for the estimation …

Persistent link: https://www.econbiz.de/10010277948

Heterogeneity in macroeconomics and the minimal econometricinterpretation for model comparison

Cozzi, Marco - 2014

This paper formally compares the fit of various versions of the incomplete markets model with aggregate uncertainty, relying on a simple Bayesian empirical framework. The models differ in the degree of households' heterogeneity, with a focus on the role of preferences. For every specification,...

Persistent link: https://www.econbiz.de/10011380826

Losers amongst the losers: The welfare effects of the Great Recession across cohorts

Ferrari, Alessandro - 2020

This paper studies the effect of deep recessions on intergenerational inequality by quantifying the welfare effects on households at different phases of the life cycle. Deep recessionary episodes are characterized by large declines in the prices of real and financial assets and in employment....

Persistent link: https://www.econbiz.de/10012422171

Decomposing Integrated Assessment Climate Change

Böhringer, Christoph; Löschel, Andreas; Rutherford, … - 2005

We present a decomposition approach for integrated assessment modeling of climate policy based on a linear approximation of the climate system. Our objective is to demonstrate the usefulness of decomposition for integrated assessment models posed in a complementarity format. First, the...

Persistent link: https://www.econbiz.de/10010297469

Decomposing the cost of Kyoto: a global CGE analysis of multilateral policy impacts

Böhringer, Christoph; Rutherford, Thomas F. - 2000

We decompose the economic implications of the Kyoto Protocol at the cross-country level, splitting the total economic impact for each region into contributions from its own emission abatement policy and those from other regions. Our analysis which is based on a large-scale computable general...

Persistent link: https://www.econbiz.de/10010297672

Business cycle dynamics of a new Keynesian overlapping generations model with progressive income taxation

Heer, Burkhard; Maußner, Alfred - 2006

In our dynamic optimizing sticky price model, agents are heterogeneous with regard to their age and their productivity. We find that the business cycle dynamics in the OLG model in response to both a technology shock and a monetary shock are similar, but not completely identical to those found...

Persistent link: https://www.econbiz.de/10010261430

Carbon leakage in a small open economy with capital mobility

Roson, Roberto - 2001

The carbon emissions abatement, undertaken by some countries, may induce other countries to increase their own emissions. This effect, known as "carbon leakage", may be due to rather different mechanisms. The simplest case is when outside countries do not change their environmental policies and...

Persistent link: https://www.econbiz.de/10011608812

Make-up strategies with incomplete markets and bounded rationality

Dobrew, Michael; Gerke, Rafael; Giesen, Sebastian; … - 2023

We study the impact of market incompleteness and bounded rationality on the effectiveness of make-up strategies. To do so, we simulate a heterogeneous-agent New Keynesian (HANK) model with reflective expectations and an occasionally-binding effective lower bound (ELB) on the policy rate. Our...

Persistent link: https://www.econbiz.de/10013532875