Incomplete market dynamics and cross-sectional distributions

• 成果类型: Article
• 署名作者: Toda, Alexis Akira
• 署名单位: University of California System; University of California San Diego; Yale University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2014.09.015
• 发表日期: 2014
• 页码: 310-348
• 关键词: Applied general equilibrium analysis; emergence; INEQUALITY; power law; Robustness

摘要

The size distributions of many economic variables seem to obey the double power law, that is, the power law holds in both the upper and the lower tails. I explain this emergence of the double power law which has important economic, econometric, and social implications using a tractable dynamic stochastic general equilibrium model with heterogeneous agents subject to aggregate and idiosyncratic investment risks. I establish theoretical properties such as existence, uniqueness, and constrained efficiency of equilibrium, and provide a numerical algorithm that is guaranteed to converge. The model is widely applicable: it allows for arbitrary homothetic CRRA recursive preferences, an arbitrary Markov process governing aggregate shocks, and an arbitrary number of technologies and assets with arbitrary portfolio constraints. (c) 2014 Elsevier Inc. All rights reserved.