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17
The distribution of wealth and fiscal policy in economies with finitely lived agents
, 2009
"... We study the dynamics of the distribution of wealth in an overlapping generation economy with finitely lived agents and intergenerational transmission of wealth. Financial markets are incomplete, exposing agents to both labor and capital income risk. We show that the stationary wealth distribution ..."
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Cited by 25 (7 self)
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We study the dynamics of the distribution of wealth in an overlapping generation economy with finitely lived agents and intergenerational transmission of wealth. Financial markets are incomplete, exposing agents to both labor and capital income risk. We show that the stationary wealth distribution is a Pareto distribution in the right tail and that it is capital income risk, rather than labor income, that drives the properties of the right tail of the wealth distribution. We also study analytically the dependence of the distribution of wealth, of wealth inequality in particular, on various fiscal policy instruments like capital income taxes and estate taxes, and on different degrees of social mobility. We show that capital income and estate taxes can significantly reduce wealth inequality, as do institutions favoring social mobility. Finally, we calibrate the economy to match the Lorenz curve of the wealth distribution of the U.S. economy.
A Note on Regime Switching, Monetary Policy and Multiple Equilibria
, 2009
"... When monetary policy is subject to regime switches conditions for determinacy become more complex. Davig and Leeper (2006, 2007), Chung, Davig and Leeper (2007), and Farmer, Waggoner and Zha (2009a, 2009b) have studied such conditons. Using some new results from stochastic processes, we characterize ..."
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Cited by 6 (3 self)
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When monetary policy is subject to regime switches conditions for determinacy become more complex. Davig and Leeper (2006, 2007), Chung, Davig and Leeper (2007), and Farmer, Waggoner and Zha (2009a, 2009b) have studied such conditons. Using some new results from stochastic processes, we characterize the moments of the stationary distribution of inflation under regime switching to obtain conditions for indeterminacy that can be easily checked and interpreted in terms of expected values of Taylor coefficients. In the last section, we outline methods to compute the moments of stationary distributions in regime switching models of higher dimensions.
Learning, Large Deviations and Rare Events ∗
, 2012
"... We examine the role of generalized constant gain stochastic gradient (SGCG) learning in generating large deviations of an endogenous variable from its rational expectations value. We show analytically that these large deviations can occur with a frequency associated with a fat tailed distribution ev ..."
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Cited by 1 (0 self)
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We examine the role of generalized constant gain stochastic gradient (SGCG) learning in generating large deviations of an endogenous variable from its rational expectations value. We show analytically that these large deviations can occur with a frequency associated with a fat tailed distribution even though the model is driven by thin tailed exogenous stochastic processes. We characterize these large deviations that are driven by sequences of consistently low or consistently high shocks. We then apply our model to the canonical assetpricing model. We demonstrate that the tails of the stationary distribution of the pricedividend ratio will follow a power law.
NBER WORKING PAPER SERIES THE DISTRIBUTION OF WEALTH AND FISCAL POLICY IN ECONOMIES WITH FINITELY LIVED AGENTS
, 2009
"... We gratefully acknowledge Daron Acemoglu's extensive comments on an earlier paper on the same subject, which have lead us to the formulation in this paper. We also acknowledge the commments of three referees, as well as conversations with Marco Bassetto, Alberto Bressan, Gianluca Clementi, ..."
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We gratefully acknowledge Daron Acemoglu's extensive comments on an earlier paper on the same subject, which have lead us to the formulation in this paper. We also acknowledge the commments of three referees, as well as conversations with Marco Bassetto, Alberto Bressan, Gianluca Clementi,
unknown title
, 2008
"... The distribution of wealth and scal policy in economies with
nitely lived agents ..."
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The distribution of wealth and scal policy in economies with
nitely lived agents
the source. A Note on Regime Switching, Monetary Policy, and Multiple Equilibria
, 2009
"... Tao Zha for very useful comments and suggestions. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peerreviewed or be ..."
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Tao Zha for very useful comments and suggestions. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research. NBER working papers are circulated for discussion and comment purposes. They have not been peerreviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.
Let
, 2003
"... We obtain nonGaussian limit laws for onedimensional random walk in a random environment in the case that the environment is a function of a stationary Markov process. This is an extension of the work of Kesten, M. Kozlov and Spitzer [13] for random walks in i.i.d. environments. The basic assumptio ..."
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We obtain nonGaussian limit laws for onedimensional random walk in a random environment in the case that the environment is a function of a stationary Markov process. This is an extension of the work of Kesten, M. Kozlov and Spitzer [13] for random walks in i.i.d. environments. The basic assumption is that the underlying Markov chain is irreducible and either with nite state space or with transition kernel dominated above and below by a probability measure. MSC2000: primary 60K37, 60F05; secondary 60J05, 60J80.
In this article, we consider stochastic fixed point equations (SFPE) of the form
"... Abstract We study the forward and backward recursions generated by a stochastic fixed point equation (SFPE) of the form V d = Amax{V,D}+B, where (A,B,D) ∈ (0,∞)×R2, for both the stationary and explosive cases. In the stationary case (when E[log A]< 0), we present results concerning the precise ta ..."
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Abstract We study the forward and backward recursions generated by a stochastic fixed point equation (SFPE) of the form V d = Amax{V,D}+B, where (A,B,D) ∈ (0,∞)×R2, for both the stationary and explosive cases. In the stationary case (when E[log A]< 0), we present results concerning the precise tail asymptotics for the random variable V satisfying this SFPE. In the explosive case (when E[log A]> 0), we establish a central limit theorem for the forward recursion generated by the SFPE, namely the process Vn = An max{Vn−1,Dn}+Bn, where {(An,Bn,Dn) : n ∈ Z+} is an i.i.d. sequence of random variables. Next, we consider recursions where the driving sequence of vectors, {(An,Bn,Dn) : n∈Z+}, is modulated by a Markov chain in general state space. We demonstrate an asymmetry between the forward and backward recursions and develop techniques for estimating the exceedance probability. In the process, we establish an interesting connection between the regularity properties of {Vn} and the recurrence properties of an associated ξshifted Markov chain.