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作者：Heathcote, Jonathan; Perri, Fabrizio
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; Center for Economic & Policy Research (CEPR); National Bureau of Economic Research
摘要：The international diversification puzzle is the fact that country portfolios are on average biased toward domestic assets, while one-good international macro models with nondiversifiable labor income risk predict the opposite pattern of diversification. This paper embeds a portfolio choice decision in a two-good international business cycle model and provides a closed-form solution for equilibrium country portfolios. Equilibrium portfolios are biased toward domestic assets because endogenous i...
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作者：Khan, Aubhik; Thomas, Julia K.
作者单位：University System of Ohio; Ohio State University
摘要：We study the cyclical implications of credit market imperfections in a quantitative dynamic, stochastic general equilibrium model wherein firms face persistent shocks to aggregate and individual productivity. In our model economy, optimal capital reallocation is distorted by two frictions: collateralized borrowing and partial investment irreversibility. We find that a negative shock to borrowing conditions can, on its own, generate a large and persistent recession through disruptions to the di...
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作者：Gu, Chao; Mattesini, Fabrizio; Monnet, Cyril; Wright, Randall
作者单位：University of Missouri System; University of Missouri Columbia; University of Rome Tor Vergata; University of Bern; Study Center Gerzensee; Federal Reserve System - USA; Federal Reserve Bank - Chicago; University of Wisconsin System; University of Wisconsin Madison; National Bureau of Economic Research
摘要：This paper studies models of credit with limited commitment and, therefore, endogenous debt limits. There are multiple stationary equilibria plus nonstationary equilibria in which credit conditions change simply because of beliefs. There can be equilibria in which debt limits display deterministic cyclic or chaotic dynamics, as well as stochastic (sunspot) equilibria in which they fluctuate randomly, even though fundamentals are deterministic and time invariant. Examples and applications are d...
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作者：Aguiar, Mark; Hurst, Erik
作者单位：Princeton University; University of Chicago
摘要：We revisit two well-known facts regarding life cycle expenditures: the hump-shaped profile of nondurable expenditures and the increase in cross-household consumption inequality. We document that the behavior of total nondurables masks surprising heterogeneity in the life cycle profile of individual consumption subcomponents. We provide evidence that the categories driving life cycle consumption either are inputs into market work or are amenable to home production. Using a quantitative model, w...
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作者：Quah, John K. -H.; Strulovici, Bruno
作者单位：University of Oxford; Northwestern University
摘要：How do discount rates affect agents' decisions and valuations? This paper provides a general method to analyze this question, allowing stochastic and managed cash flows, stochastic discount rates, and time inconsistency and including arbitrary learning and payoff or utility processes. We show that some of these features can lead to counterintuitive answers (e.g., a more patient agent stops earlier), but we also establish, under simple conditions, theorems yielding robust predictions concerning...
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作者：Skiadas, Costis
作者单位：Northwestern University
摘要：Assuming Brownian/Poisson uncertainty, a certainty equivalent ((CE)) based on the smooth second-order expected utility of Klibanoff, Marinacci, and Mukerji is shown to be approximately equal to an expected-utility CE. As a consequence, the corresponding continuous-time recursive utility form is the same as for Kreps-Porteus utility. The analogous conclusions are drawn for a smooth divergence CE, based on a formulation of Maccheroni, Marinacci, and Rustichini, but only under Brownian uncertaint...
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作者：Lagos, Ricardo
作者单位：New York University
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作者：Soenmez, Tayfun
作者单位：Boston College
摘要：Motivated by the low retention rates of US Military Academy and Reserve Officer Training Corps graduates, the Army recently introduced incentives programs in which cadets could bid 3 years of additional service obligation to obtain higher priority for their desired branches. The full potential of this incentives program is not utilized because of the ROTC's deficient matching mechanism. I propose a design that eliminates these shortcomings and mitigates several policy problems the Army has ide...
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作者：Dow, Gregory K.; Reed, Clyde G.
作者单位：Simon Fraser University
摘要：Hereditary economic inequality is unknown among mobile foragers, but hereditary class distinctions between elites and commoners exist in some sedentary foraging societies. With agriculture, such stratification tends to become more pronounced. We develop a model to explain the associations among productivity, population, property rights, and inequality. Using Malthusian dynamics, we show that regional productivity growth leads to enclosure of the best sites first, creating inequality between in...
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作者：David, Alexander; Veronesi, Pietro
作者单位：University of Calgary; University of Chicago; National Bureau of Economic Research
摘要：Stock and Treasury bond comovement, volatilities, and their relations to their price valuations and fundamentals change stochastically over time, in both magnitude and direction. These stochastic changes are explained by a general equilibrium model in which agents learn about composite economic and inflation regimes. We estimate our model using both fundamentals and asset prices and find that inflation news signal either positive or negative future real economic growth depending on the times, ...
