Uninsured idiosyncratic investment risk and aggregate saving
نویسندگان
چکیده
منابع مشابه
Inventory investment and aggregate fluctuations with idiosyncratic shocks
We develop a DSGE model to explain salient empirical regularities regarding fluctuations in aggregate inventory accumulation over the business cycle while simultaneously explaining a distinct set of observations on the behavior of this series at higher frequencies. We begin with a generalized (S,s) model of inventory investment wherein firms fixed costs of ordering inputs that lead them to econ...
متن کاملIdiosyncratic Risk and Aggregate Employment Dynamics
This paper studies how producers’ idiosyncratic risks impact aggregate employment dynamics when there is a trade-off between workers’ productivity and costs of job creation and destruction. In our analysis, increasing idiosyncratic risk induces producers to move workers out of structured jobs that are costly to create and destroy and into less-productive but more-flexible unstructured positions...
متن کاملOptimal Capital Taxation with Idiosyncratic Investment Risk
We examine the optimal taxation of capital in a general-equilibrium heterogeneousagent economy with uninsurable idiosyncratic investment or capital-income risk. Our framework combines elements from the Ramsey and the Mirrlees traditions, as we consider a linear tax but also introduce lump-sum transfers. The tractability of our model allows for an analytic characterization of the long run, as we...
متن کاملWealth Distribution under Idiosyncratic Investment Risk
I investigate the mechanisms through which idiosyncratic investment risk generates a fat tail of the wealth distribution. I set up a continuous time OLG model with a bequest motive and portfolio selection to show that idiosyncratic investment risk generates a Pareto tail in the wealth distribution. I calibrate my model to the U.S. economy and show that the wealth distribution in the simulated e...
متن کاملTime-Varying Idiosyncratic Risk and Aggregate Consumption Dynamics
This paper presents an incomplete markets business cycle model in which the nature of idiosyncratic risk varies over time in accordance with recent empirical findings. In this model household heterogeneity and time-varying idiosyncratic risk have substantial effects on aggregate consumption dynamics. For example, the standard deviation of consumption growth is 47 percent larger than in a comple...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Economic Dynamics
سال: 2007
ISSN: 1094-2025
DOI: 10.1016/j.red.2006.11.001