Incomplete-market dynamics in a neoclassical production economy

被引:22
作者
Angeletos, GM
Calvet, LE
机构
[1] Harvard Univ, Littauer Ctr, Dept Econ, Cambridge, MA 02138 USA
[2] MIT, Dept Econ, Cambridge, MA 02142 USA
[3] HEC Sch Management, Paris, France
[4] NBER, Cambridge, MA 02138 USA
关键词
entrepreneurial risks; precautionary motive; endogenous fluctuations; poverty traps;
D O I
10.1016/j.jmateco.2004.09.005
中图分类号
F [经济];
学科分类号
02 ;
摘要
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 infinitehorizon economies, multiple steady states may arise from the endogeneity of risk-taking 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. (c) 2005 Elsevier B.V. All rights reserved.
引用
收藏
页码:407 / 438
页数:32
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