Incomplete markets, heterogeneity and macroeconomic dynamics:
This paper solves a real business cycle model with heterogeneous agents and uninsurable income risk using perturbation methods. A second order accurate characterization of agent's optimal decision rules is given, which renders the implications of aggregation for macroeconomic dynamics transpare...
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2007
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
13260 |
| Links: | http://papers.nber.org/papers/w13260.pdf |
| Zusammenfassung: | This paper solves a real business cycle model with heterogeneous agents and uninsurable income risk using perturbation methods. A second order accurate characterization of agent's optimal decision rules is given, which renders the implications of aggregation for macroeconomic dynamics transparent. The role of cross-sectional holdings of capital in determining equilibrium dynamics can be directly assessed. Analysis discloses that an individual's optimal saving decisions are almost linear in their own capital stock giving rise to permanent income consumption behavior. This provides an explanation for the approximate aggregation properties of this model documented by Krusell and Smith (1998): the distribution of capital does not affect aggregate dynamics. While the variance-covariance properties of endogenous variables are almost entirely determined by first order dynamics, the second order dynamics, which capture properties of the wealth distribution, are nonetheless important for an individual's mean consumption and saving decisions and therefore the mean equilibrium capital stock. Policy evaluation exercises therefore need to take account of these higher order terms. |
| Beschreibung: | Literaturverz. S. 44 - 46 |
| Umfang: | 46 S. 22 cm |
Internformat
MARC
| LEADER | 00000nam a2200000zcb4500 | ||
|---|---|---|---|
| 001 | BV023593164 | ||
| 003 | DE-604 | ||
| 005 | 20080327000000.0 | ||
| 007 | t| | ||
| 008 | 070907s2007 xxu |||| 00||| eng d | ||
| 035 | |a (OCoLC)255694625 | ||
| 035 | |a (DE-599)GBV539044288 | ||
| 040 | |a DE-604 |b ger | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-521 | ||
| 050 | 0 | |a HB1 | |
| 100 | 1 | |a Preston, Bruce |e Verfasser |0 (DE-588)124567517 |4 aut | |
| 245 | 1 | 0 | |a Incomplete markets, heterogeneity and macroeconomic dynamics |c Bruce Preston ; Mauro Roca |
| 264 | 1 | |a Cambridge, Mass. |b National Bureau of Economic Research |c 2007 | |
| 300 | |a 46 S. |c 22 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Working paper series / National Bureau of Economic Research |v 13260 | |
| 500 | |a Literaturverz. S. 44 - 46 | ||
| 520 | 8 | |a This paper solves a real business cycle model with heterogeneous agents and uninsurable income risk using perturbation methods. A second order accurate characterization of agent's optimal decision rules is given, which renders the implications of aggregation for macroeconomic dynamics transparent. The role of cross-sectional holdings of capital in determining equilibrium dynamics can be directly assessed. Analysis discloses that an individual's optimal saving decisions are almost linear in their own capital stock giving rise to permanent income consumption behavior. This provides an explanation for the approximate aggregation properties of this model documented by Krusell and Smith (1998): the distribution of capital does not affect aggregate dynamics. While the variance-covariance properties of endogenous variables are almost entirely determined by first order dynamics, the second order dynamics, which capture properties of the wealth distribution, are nonetheless important for an individual's mean consumption and saving decisions and therefore the mean equilibrium capital stock. Policy evaluation exercises therefore need to take account of these higher order terms. | |
| 700 | 1 | |a Roca, Mauro |e Verfasser |0 (DE-588)133542165 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 810 | 2 | |a National Bureau of Economic Research <Cambridge, Mass.> |t NBER working paper series |v 13260 |w (DE-604)BV002801238 |9 13260 | |
| 856 | 4 | 1 | |u http://papers.nber.org/papers/w13260.pdf |z kostenfrei |3 Volltext |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-016908494 | |
Datensatz im Suchindex
| _version_ | 1818965836023463936 |
|---|---|
| any_adam_object | |
| author | Preston, Bruce Roca, Mauro |
| author_GND | (DE-588)124567517 (DE-588)133542165 |
| author_facet | Preston, Bruce Roca, Mauro |
| author_role | aut aut |
| author_sort | Preston, Bruce |
| author_variant | b p bp m r mr |
| building | Verbundindex |
| bvnumber | BV023593164 |
| callnumber-first | H - Social Science |
| callnumber-label | HB1 |
| callnumber-raw | HB1 |
| callnumber-search | HB1 |
| callnumber-sort | HB 11 |
| callnumber-subject | HB - Economic Theory and Demography |
| ctrlnum | (OCoLC)255694625 (DE-599)GBV539044288 |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02429nam a2200349zcb4500</leader><controlfield tag="001">BV023593164</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20080327000000.0</controlfield><controlfield tag="007">t|</controlfield><controlfield tag="008">070907s2007 xxu |||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)255694625</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)GBV539044288</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-521</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HB1</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Preston, Bruce</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)124567517</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Incomplete markets, heterogeneity and macroeconomic dynamics</subfield><subfield code="c">Bruce Preston ; Mauro Roca</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge, Mass.</subfield><subfield code="b">National Bureau of Economic Research</subfield><subfield code="c">2007</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">46 S.</subfield><subfield code="c">22 cm</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Working paper series / National Bureau of Economic Research</subfield><subfield code="v">13260</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Literaturverz. S. 44 - 46</subfield></datafield><datafield tag="520" ind1="8" ind2=" "><subfield code="a">This paper solves a real business cycle model with heterogeneous agents and uninsurable income risk using perturbation methods. A second order accurate characterization of agent's optimal decision rules is given, which renders the implications of aggregation for macroeconomic dynamics transparent. The role of cross-sectional holdings of capital in determining equilibrium dynamics can be directly assessed. Analysis discloses that an individual's optimal saving decisions are almost linear in their own capital stock giving rise to permanent income consumption behavior. This provides an explanation for the approximate aggregation properties of this model documented by Krusell and Smith (1998): the distribution of capital does not affect aggregate dynamics. While the variance-covariance properties of endogenous variables are almost entirely determined by first order dynamics, the second order dynamics, which capture properties of the wealth distribution, are nonetheless important for an individual's mean consumption and saving decisions and therefore the mean equilibrium capital stock. Policy evaluation exercises therefore need to take account of these higher order terms.</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Roca, Mauro</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)133542165</subfield><subfield code="4">aut</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield></datafield><datafield tag="810" ind1="2" ind2=" "><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.></subfield><subfield code="t">NBER working paper series</subfield><subfield code="v">13260</subfield><subfield code="w">(DE-604)BV002801238</subfield><subfield code="9">13260</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://papers.nber.org/papers/w13260.pdf</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016908494</subfield></datafield></record></collection> |
| id | DE-604.BV023593164 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T13:23:20Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016908494 |
| oclc_num | 255694625 |
| open_access_boolean | 1 |
| owner | DE-521 |
| owner_facet | DE-521 |
| physical | 46 S. 22 cm |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Preston, Bruce Verfasser (DE-588)124567517 aut Incomplete markets, heterogeneity and macroeconomic dynamics Bruce Preston ; Mauro Roca Cambridge, Mass. National Bureau of Economic Research 2007 46 S. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 13260 Literaturverz. S. 44 - 46 This paper solves a real business cycle model with heterogeneous agents and uninsurable income risk using perturbation methods. A second order accurate characterization of agent's optimal decision rules is given, which renders the implications of aggregation for macroeconomic dynamics transparent. The role of cross-sectional holdings of capital in determining equilibrium dynamics can be directly assessed. Analysis discloses that an individual's optimal saving decisions are almost linear in their own capital stock giving rise to permanent income consumption behavior. This provides an explanation for the approximate aggregation properties of this model documented by Krusell and Smith (1998): the distribution of capital does not affect aggregate dynamics. While the variance-covariance properties of endogenous variables are almost entirely determined by first order dynamics, the second order dynamics, which capture properties of the wealth distribution, are nonetheless important for an individual's mean consumption and saving decisions and therefore the mean equilibrium capital stock. Policy evaluation exercises therefore need to take account of these higher order terms. Roca, Mauro Verfasser (DE-588)133542165 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 13260 (DE-604)BV002801238 13260 http://papers.nber.org/papers/w13260.pdf kostenfrei Volltext |
| spellingShingle | Preston, Bruce Roca, Mauro Incomplete markets, heterogeneity and macroeconomic dynamics |
| title | Incomplete markets, heterogeneity and macroeconomic dynamics |
| title_auth | Incomplete markets, heterogeneity and macroeconomic dynamics |
| title_exact_search | Incomplete markets, heterogeneity and macroeconomic dynamics |
| title_full | Incomplete markets, heterogeneity and macroeconomic dynamics Bruce Preston ; Mauro Roca |
| title_fullStr | Incomplete markets, heterogeneity and macroeconomic dynamics Bruce Preston ; Mauro Roca |
| title_full_unstemmed | Incomplete markets, heterogeneity and macroeconomic dynamics Bruce Preston ; Mauro Roca |
| title_short | Incomplete markets, heterogeneity and macroeconomic dynamics |
| title_sort | incomplete markets heterogeneity and macroeconomic dynamics |
| url | http://papers.nber.org/papers/w13260.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT prestonbruce incompletemarketsheterogeneityandmacroeconomicdynamics AT rocamauro incompletemarketsheterogeneityandmacroeconomicdynamics |