The risk-free rate in heterogeneous-agent incomplete-insurance economies

DOI10.1016/0165-1889(93)90024-MzbMATH Open0784.90018WikidataQ56806735 ScholiaQ56806735MaRDI QIDQ690182FDOQ690182

Publication date: 20 December 1993

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Recommendations

Finite horizons, human wealth, and the risk-free rate puzzle
The equity risk premium and the riskfree rate in an economy with borrowing constraints
Asset prices in a Huggett economy
The risk-free rate in a finite horizon model with bequests
A simple model of incomplete insurance The case of permanent shocks

zbMATH Keywords

average real risk-free interest rate

Mathematics Subject Classification ID

General equilibrium theory (91B50) Economic growth models (91B62) Heterogeneous agent models (91B69)

Cites Work

Title not available (Why is that?)
Asset Prices in an Exchange Economy
The risk-free rate in heterogeneous-agent incomplete-insurance economies
A Difficulty with the Optimum Quantity of Money
Some results on An income fluctuation problem
On income fluctuations and capital gains
Currency and Credit are Equivalent Mechanisms
International Lending and Borrowing in a Stochastic, Stationary Equilibrium
Optimal Consumption Policy under Uncertain Income

Cited In (only showing first 100 items - show all)

Second-, third-, and higher-order consumption functions: a precautionary tale
Solving the income fluctuation problem with unbounded rewards
Tax‐and‐transfer progressivity and business cycles
The income fluctuation problem and the evolution of wealth
Fresh start or head start? uniform bankruptcy exemptions and welfare
Finite elements in the presence of occasionally binding constraints
An impossibility theorem for wealth in heterogeneous-agent models with limited heterogeneity
A three state model of worker flows in general equilibrium
Introduction to incompleteness and uncertainty in economics
Public versus private risk sharing
Welfare implications of endogenous credit limits with bankruptcy
Rational inattention and the dynamics of consumption and wealth in general equilibrium
Seeking ergodicity in dynamic economies
Optimal lending contracts with long run borrowing constraints
Adaptive learning and distributional dynamics in an incomplete markets model
Equilibrium heterogeneous-agent models as measurement tools: some Monte Carlo evidence
Endogenous market incompleteness with investment risks
Uninsured idiosyncratic production risk with borrowing constraints
Asset returns in an endogenous growth model with incomplete markets
A simple model of incomplete insurance The case of permanent shocks
Equilibrium consumption and precautionary savings in a stochastically growing economy
The risk-free rate in heterogeneous-agent incomplete-insurance economies
Asset pledgeability and endogenously leveraged bubbles
Solving dynamic public insurance games with endogenous agent distributions: theory and computational approximation
Inflationary equilibrium in a stochastic economy with independent agents
Ignorance, pervasive uncertainty, and household finance
Optimal consumption and savings with stochastic income and recursive utility
Quantitative implications of indexed bonds in small open economies
Equilibrium in securities markets with heterogeneous investors and unspanned income risk
Self-insurance vs. self-financing: a welfare analysis of the persistence of shocks
On entrepreneurial risk-taking and the macroeconomic effects of financial constraints
Short-run fiscal policy: welfare, redistribution and aggregate effects in the short and long-run
Measuring high-frequency income risk from low-frequency data
Partial differential equation models in macroeconomics
Welfare implications of switching to consumption taxation
Asset prices in a Huggett economy
Indivisible-labor, lotteries and idiosyncratic productivity shocks
When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
Recursive equilibrium in endogenous growth models with incomplete markets
Non-exclusive dynamic contracts, competition, and the limits of insurance
Social insurance, private health insurance and individual welfare
Block-recursive equilibria in heterogeneous-agent models
Incomplete markets and volatility
Algorithms for solving dynamic models with occasionally binding constraints
Entrepreneurship and government subsidies: a general equilibrium analysis.
Smolyak method for solving dynamic economic models: Lagrange interpolation, anisotropic grid and adaptive domain
The wealth distribution in Bewley economies with capital income risk
Solving the incomplete markets model with aggregate uncertainty using the Krusell-Smith algorithm
Non-existence of recursive equilibria on compact state spaces when markets are incomplete.
The equity risk premium and the riskfree rate in an economy with borrowing constraints
Social health insurance: a quantitative exploration
Reconciling the term structure of interest rates with the consumption-based ICAP model
Uniqueness of equilibrium in a Bewley-Aiyagari model
Mean field games and applications: numerical aspects
Stochastic Comparative Statics in Markov Decision Processes
The macro-financial implications of house price-indexed mortgage contracts
Heterogeneity and monetary policy
Explaining bond returns in heterogeneous agent models: The importance of higher-order moments
Uninsurable investment risks and capital income taxation
Aggregate fluctuations, interest rates, and repeated insurance under private information
Incomplete markets, liquidation risk, and the term structure of interest rates
Competitive equilibria of economies with a continuum of consumers and aggregate shocks
Production subsidies and redistribution
Gambling for redemption and self-fulfilling debt crises
Risk pooling, intermediation efficiency, and the business cycle
Labor market trends and the changing value of time
On stationary recursive equilibria and nondegenerate state spaces: the Huggett model
Unique monetary equilibrium with inflation in a stationary Bewley-Aiyagari model
Precautionary Savings, Illiquid Assets, and the Aggregate Consequences of Shocks to Household Income Risk
Pseudospectral methods for continuous-time heterogeneous-agent models
Asset pricing with jump/diffusion permanent income shocks
Recursive equilibrium in Krusell and Smith (1998)
The effect of interest rates on consumption in an income fluctuation problem
Huggett economies with multiple stationary equilibria
On the existence and uniqueness of stationary equilibrium in Bewley economies with production
Distributional effects of endogenous discounting
Recent advances on uniqueness of competitive equilibrium
Optimal policies with heterogeneous agents: truncation and transitions
PARENTAL TIME INVESTMENT AND INTERGENERATIONAL MOBILITY
Thomas Piketty and the rate of time preference
The winners and losers of tax reform: an assessment under financial integration
The determination of public debt under both aggregate and idiosyncratic uncertainty
Equilibrium models with heterogeneous agents under rational expectations and its numerical solution
Existence theory for a time-dependent mean field games model of household wealth
NIT picking: the macroeconomic effects of a negative income tax
Exploiting MIT shocks in heterogeneous-agent economies: the impulse response as a numerical derivative
Macroeconomic and distributional effects of mortgage guarantee programs for the poor
Renting vs buying a home: a matter of wealth accumulation or of geographic stability?
A mean field model for the interactions between firms on the markets of their inputs
Health insurance reform: the impact of a medicare buy-in
On the irrelevance of financial policy under market incompleteness and trading constraints
ON THE DISTRIBUTIONAL EFFECTS OF INTERNATIONAL TARIFFS
MONETARY POLICY AND INEQUALITY: HOW DOES ONE AFFECT THE OTHER?
Fiscal multipliers: A heterogenous‐agent perspective
A tractable model of monetary exchange with ex post heterogeneity
The invariant distribution of wealth and employment status in a small open economy with precautionary savings
Capital income jumps and wealth distribution
A more credible approach to parallel trends
A welfare analysis of occupational licensing in U.S. states
Hazed and confused: the effect of air pollution on dementia

This page was built for publication: The risk-free rate in heterogeneous-agent incomplete-insurance economies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q690182)