Auflistung LIF-SAFE Working Papers nach Schlagwort "incomplete markets"
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Aggregate and Distributional Effects of Increasing Taxes on Top Income Earners
(2015-07-13)We analyze the macroeconomic implications of increasing the top marginal income tax rate using a dynamic general equilibrium framework with heterogeneous agents and a fiscal structure resembling the actual U.S. tax system. ... -
Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs
(2015-02-01)In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and ... -
On the Distributive Effects of Inflation
(2015-06-01)This paper undertakes a quantitative investigation of the effects of anticipated inflation on the distribution of household wealth and welfare. Consumer Finance Data on household financial wealth suggests that about a third ... -
Optimal Consumption and Investment with Epstein-Zin Recursive Utility
(2016-07-04)We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jac ... -
The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
(2016-01-25)In a production economy with trade in financial markets motivated by the desire to share labor-income risk and to speculate, we show that speculation increases volatility of asset returns and investment growth, increases ...