Recursive allocations and wealth distribution with multiple goods: Existence, survivorship, and dynamics

• 成果类型: Article
• 署名作者: Colacito, R.; Croce, M. M.; Liu, Zhao
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; National Bureau of Economic Research; Bocconi University; Duke University
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE457
• 发表日期: 2019
• 页码: 311-351
• 关键词: Recursive preferences; multiple agents; equilibrium

摘要

We characterize the equilibrium of a complete markets economy with multiple agents featuring a preference for the timing of the resolution of uncertainty. Utilities are defined over an aggregate of two goods. We provide conditions under which the solution of the planner's problem exists, and it features a nondegenerate invariant distribution of Pareto weights. We also show that perturbation methods replicate the salient features of our recursive risk-sharing scheme, provided that higher-order terms are included.