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Displaying results 1 to 7 of 7.

  1. Neoclassical growth with long-term one-sided commitment contracts
    Author: Krueger, Dirk; Uhlig, Harald
    Published: [2022]
    Publisher:  Center for Financial Studies, Goethe University, Frankfurt am Main, Germany

    This paper characterizes the stationary equilibrium of a continuous-time neoclassical production economy with capital accumulation in which households can insure against idiosyncratic income risk through long-term insurance contracts. Insurance... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 108
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    This paper characterizes the stationary equilibrium of a continuous-time neoclassical production economy with capital accumulation in which households can insure against idiosyncratic income risk through long-term insurance contracts. Insurance companies operating in perfectly competitive markets can commit to future contractual obligations, whereas households cannot. For the case in which household labor productivity takes two values, one of which is zero, and where households have log-utility we provide a complete analytical characterization of the optimal consumption insurance contract, the stationary consumption distribution and the equilibrium aggregate capital stock and interest rate. Under parameter restrictions, there is a unique stationary equilibrium with partial consumption insurance and a stationary consumption distribution that takes a truncated Pareto form. The unique equilibrium interest rate (capital stock) is strictly decreasing (increasing) in income risk. The paper provides an analytically tractable alternative to the standard incomplete markets general equilibrium model developed in Aiyagari (1994) by retaining its physical structure, but substituting the assumed incomplete asset markets structure with one in which limits to consumption insurance emerge endogenously, as in Krueger and Uhlig (2006).

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/268900
    Series: CFS working paper series ; no. 698
    Subjects: Idiosyncratic Risk; Limited Commitment; Stationary Equilibrium
    Other subjects: Array
    Scope: 1 Online-Ressource (circa 103 Seiten), Illustrationen
  2. Neoclassical growth with long-term one-sided commitment contracts
    Author: Krueger, Dirk; Uhlig, Harald
    Published: 19 December 2022
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    LZ 161
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    Location:
    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP17757
    Subjects: Idiosyncratic Risk; Limited Commitment; Stationary Equilibrium
    Scope: 1 Online-Ressource (circa 103 Seiten), Illustrationen
  3. Unemployment insurance with limited commitment wage contracts and savings
    Author: Oikonomou, R.
    Published: [2016]
    Publisher:  Institut de recherches économiques et sociales de l'Université catholique de Louvain, Louvain-la-Neuve, Belgique

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 107 (2016,06)
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 2078.1/172285
    Series: Discussion paper / Institut de recherches économiques et sociales de l'Université catholique de Louvain ; 2016, 6
    Subjects: Unemployment Insurance; Incomplete Markets; Optimal Contracts; Limited Commitment; Household Self-Insurance
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  4. Dynamic asset-backed security design
    Author: Ozdenoren, Emre; Yuan, Kathy; Zhang, Shengxing
    Published: May 2022
    Publisher:  [LSE Financial Markets Group], [London]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / [Financial Markets Group] ; no 856
    Paul Woolley Centre working paper ; no 86
    Subjects: Liquidity; Dynamic Price Feedback; Tradable Assets; Inter-temporal Coordination; Security Design; Multiple Equilibria; Self-fulfilling Prices; Financial Fragility; Haircut; Repo; Repo Runs; Credit Crunch; Asset-Backed Security; Collateral; Limited Commitment; Adverse Selection; Market-Based Financial Intermediation
    Scope: 1 Online-Ressource, Illustrationen
  5. Time-consistent implementation in macroeconomic games
    Author: Barthélémy, Jean; Mengus, Eric
    Published: 18 March 2022
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    LZ 161
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    Location:
    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP17120
    Subjects: Implementation; Limited Commitment; Policy Rules
    Scope: 1 Online-Ressource (circa 69 Seiten), Illustrationen
  6. Neoclassical growth with long-term one-sided commitment contracts
    Author: Krueger, Dirk; Uhlig, Harald
    Published: September 9, 2022
    Publisher:  Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, Philadelphia, PA

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: PIER working paper ; 22, 023
    Subjects: Neoklassische Theorie; Wachstumstheorie; Idiosyncratic Risk; Limited Commitment; Stationary Equilibrium
    Scope: 1 Online-Ressource (circa 101 Seiten), Illustrationen
  7. Government debt management and inflation with real and nominal bonds
    Author: Schmid, Lukas; Valaitis, Vytautas; Villa, Alessandro T.
    Published: March 2024
    Publisher:  [London School of Economics and Political Science], [London, UK]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [CFM discussion paper series] ; [CFM-DP 2024, 13]
    Subjects: Optimal Fiscal Policy; Monetary Policy; Debt Management; TIPS; Incomplete Markets; Inflation; Limited Commitment; Time-consistency; Markov-perfect Equilibria
    Scope: 1 Online-Ressource (circa 72 Seiten)