Incomplete market dynamics in neoclassical production economy:
We investigate a neoclassical economy with heterogeneous agents, convex technologies and idiosyncratic production risk. Combined with precautionary savings, investment risk generates rich effects that do not arise in the presence of pure endowment risk. Under a finite horizon, multiple growth paths...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2004
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| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11016 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | We investigate a neoclassical economy with heterogeneous agents, convex technologies and idiosyncratic production risk. Combined with precautionary savings, investment risk generates rich effects that do not arise in the presence of pure endowment risk. Under a finite horizon, multiple growth paths and endogenous fluctuations can exist even when agents are very patient. In infinite-horizon economies, multiple steady states may arise from the endogeneity of risktaking and interest rates instead of the usual wealth effects. Depending on the economy's parameters, the local dynamics around a steady state are locally unique, totally unstable or locally undetermined, and the equilibrium path can be attracted to a limit cycle. The model generates closed-form expressions for the equilibrium dynamics and easily extends to a variety of environments, including heterogeneous capital types and multiple sectors. |
| Beschreibung: | 31, [4] S. graph. Darst. |
Internformat
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| 245 | 1 | 0 | |a Incomplete market dynamics in neoclassical production economy |c George-Marios Angeletos ; Laurent-Emmanuel Calvet |
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| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 11016 | |
| 520 | 3 | |a We investigate a neoclassical economy with heterogeneous agents, convex technologies and idiosyncratic production risk. Combined with precautionary savings, investment risk generates rich effects that do not arise in the presence of pure endowment risk. Under a finite horizon, multiple growth paths and endogenous fluctuations can exist even when agents are very patient. In infinite-horizon economies, multiple steady states may arise from the endogeneity of risktaking and interest rates instead of the usual wealth effects. Depending on the economy's parameters, the local dynamics around a steady state are locally unique, totally unstable or locally undetermined, and the equilibrium path can be attracted to a limit cycle. The model generates closed-form expressions for the equilibrium dynamics and easily extends to a variety of environments, including heterogeneous capital types and multiple sectors. | |
| 650 | 4 | |a Dynamisches Gleichgewicht / Unvollkommener Markt / Investitionsrisiko / Theorie | |
| 650 | 4 | |a risk-sharing | |
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| author | Angeletos, Marios Calvet, Laurent E. 1969- |
| author_GND | (DE-588)128636017 (DE-588)128649739 |
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| id | DE-604.BV019884224 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T20:08:21Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-013208320 |
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| physical | 31, [4] S. graph. Darst. |
| publishDate | 2004 |
| publishDateSearch | 2004 |
| publishDateSort | 2004 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Angeletos, Marios Verfasser (DE-588)128636017 aut Incomplete market dynamics in neoclassical production economy George-Marios Angeletos ; Laurent-Emmanuel Calvet Cambridge, Mass. National Bureau of Economic Research 2004 31, [4] S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11016 We investigate a neoclassical economy with heterogeneous agents, convex technologies and idiosyncratic production risk. Combined with precautionary savings, investment risk generates rich effects that do not arise in the presence of pure endowment risk. Under a finite horizon, multiple growth paths and endogenous fluctuations can exist even when agents are very patient. In infinite-horizon economies, multiple steady states may arise from the endogeneity of risktaking and interest rates instead of the usual wealth effects. Depending on the economy's parameters, the local dynamics around a steady state are locally unique, totally unstable or locally undetermined, and the equilibrium path can be attracted to a limit cycle. The model generates closed-form expressions for the equilibrium dynamics and easily extends to a variety of environments, including heterogeneous capital types and multiple sectors. Dynamisches Gleichgewicht / Unvollkommener Markt / Investitionsrisiko / Theorie risk-sharing Calvet, Laurent E. 1969- Verfasser (DE-588)128649739 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11016 (DE-604)BV002801238 11016 http://papers.nber.org/papers/w11016.pdf kostenfrei Volltext |
| spellingShingle | Angeletos, Marios Calvet, Laurent E. 1969- Incomplete market dynamics in neoclassical production economy National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Dynamisches Gleichgewicht / Unvollkommener Markt / Investitionsrisiko / Theorie risk-sharing |
| title | Incomplete market dynamics in neoclassical production economy |
| title_auth | Incomplete market dynamics in neoclassical production economy |
| title_exact_search | Incomplete market dynamics in neoclassical production economy |
| title_full | Incomplete market dynamics in neoclassical production economy George-Marios Angeletos ; Laurent-Emmanuel Calvet |
| title_fullStr | Incomplete market dynamics in neoclassical production economy George-Marios Angeletos ; Laurent-Emmanuel Calvet |
| title_full_unstemmed | Incomplete market dynamics in neoclassical production economy George-Marios Angeletos ; Laurent-Emmanuel Calvet |
| title_short | Incomplete market dynamics in neoclassical production economy |
| title_sort | incomplete market dynamics in neoclassical production economy |
| topic | Dynamisches Gleichgewicht / Unvollkommener Markt / Investitionsrisiko / Theorie risk-sharing |
| topic_facet | Dynamisches Gleichgewicht / Unvollkommener Markt / Investitionsrisiko / Theorie risk-sharing |
| url | http://papers.nber.org/papers/w11016.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT angeletosmarios incompletemarketdynamicsinneoclassicalproductioneconomy AT calvetlaurente incompletemarketdynamicsinneoclassicalproductioneconomy |