کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097948 | 1478661 | 2017 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Huggett economies with multiple stationary equilibria
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
I obtain a closed-form solution to a Huggett economy with constant absolute risk aversion (CARA) utility when the vector of individual state variables follows a VAR(1) process with an arbitrary shock distribution. The stationary equilibrium is unique if the income process is AR(1), but not necessarily so otherwise. With Gaussian shocks, I provide general sufficient conditions for the existence of at least three equilibria when the income process is either ARMA(1,1), AR(2), or has a persistent-transitory (PT) representation with negatively correlated shocks. The possibility of multiple equilibria calls for caution in comparative statics exercises and policy analyses using heterogeneous-agent models. As an illustration I provide an example in which the welfare implication of changing the income risk goes in opposite directions depending on the choice of equilibrium.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 84, November 2017, Pages 77-90
Journal: Journal of Economic Dynamics and Control - Volume 84, November 2017, Pages 77-90
نویسندگان
Alexis Akira Toda,