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In this paper we show that we can replace the assumption of constant discount rate in the onesector optimal growth model with the assumption of decreasing marginal impatience without losing major properties of the model. In particular, we show that the steady state exists, is unique, and has a...
Persistent link: https://www.econbiz.de/10010261104
In this paper we show that we can replace the assumption of constant discount rate in the one-sector optimal growth model with the assumption of decreasing marginal impatience without losing major properties of the model. In particular, we show that the steady state exists, is unique, and has a...
Persistent link: https://www.econbiz.de/10005406366
The article gives new answers to the two following questions: One, what can be a potential source of the twin-peaks of economic growth? Two, why were some of the countries that were believed to belong to the group of low steady state countries (like Taiwan, South Korea, Japan, etc.) able to...
Persistent link: https://www.econbiz.de/10005043077
We endogenize the discount rate via a broad measure of wealth and provide empirical evidence that wealth affects the discount rate negatively. We demonstrate that the Pontryagin conditions require positive felicity for intuitive results, whereasthe concavity of the Hamiltonian requires negative...
Persistent link: https://www.econbiz.de/10005065304
We study structural models of stochastic discount factors and explore alternative methods of estimating such models using data on macroeconomic risk and asset returns. Particular attention is devoted to recursive utility models in which risk aversion can be modified without altering...
Persistent link: https://www.econbiz.de/10014024954
Persistent link: https://www.econbiz.de/10015159279
We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the continuous-time limit of vanishing grid size.
Persistent link: https://www.econbiz.de/10010225872
We investigate whether the set of Kreps and Porteus (1978) preferences include classes of preferences that are stationary, monotonic and well-ordered in terms of risk aversion. We prove that the class of preferences introduced by Hansen and Sargent (1995) in their robustness analysis is the only...
Persistent link: https://www.econbiz.de/10009721838
Persistent link: https://www.econbiz.de/10010465138
Persistent link: https://www.econbiz.de/10011452587