کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7359445 1478740 2016 49 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal consumption and savings with stochastic income and recursive utility
ترجمه فارسی عنوان
مصرف و پس انداز بهینه با درآمد تصادفی و ابزار بازگشتی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We develop a tractable incomplete-markets model with an earnings process Y subject to permanent shocks and borrowing constraints. Financial frictions cause the marginal (certainty equivalent) value of wealth W to be greater than unity and decrease with liquidity w=W/Y. Additionally, financial frictions cause consumption to decrease with this endogenously determined marginal value of liquidity. Risk aversion and the elasticity of inter-temporal substitution play very different roles on consumption and the dispersion of w. Permanent earnings shocks, especially large discrete stochastic jumps, make consumption smoothing quantitatively difficult to achieve. Borrowing constraints and permanent discrete jump shocks can generate empirically plausible values for marginal propensities to consume in the range of 0.2 to 0.6.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Theory - Volume 165, September 2016, Pages 292-331
نویسندگان
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