Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach

Achdou, Yves; Han, Jiequn; Lasry, Jean Michel; Lions, Pierre Louis; Moll, Benjamin

doi:10.1093/restud/rdab002

Cited by 259 publications

(269 citation statements)

References 116 publications

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“…For example, for the case of CRRA utility, Benhabib, Bisin and Zhu (2015) show that as → ∞, the household saving function's sensitivity to the risk-free interest rate is increasing in the IES. A similar result is proved by Achdou et al (2021). us the derivative with respect to is governed by the intertemporal elasticity of substitution (IES), with a larger IES indicates a more elastic response, at least for the very wealthy.…”

Section: E Elasticity Of Aggregate Savingssupporting

confidence: 69%

“…At the other end of the asset domain, Achdou et al (2021) shows that, for those at the lowest income realization and approaching the borrowing constraint, the sensitivity of savings to also depends positively on the IES.…”

Section: E Elasticity Of Aggregate Savingsmentioning

confidence: 99%

“…Note that this may require additional assumptions on the stochastic processes for labor productivity and the pro t share as well as on their initial cross-sectional distribution. SeeAçıkgöz (2018),Light (2018), andAchdou, Han, Lasry, Lions andMoll (2021) for results on existence and uniqueness of stationary equilibria in Bewley models.…”

mentioning

confidence: 99%

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Micro Risks and (Robust) Pareto Improving Policies

Aguiar¹,

Amador

Arellano

2022

Preprint

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We provide su cient conditions for the feasibility of a Pareto-improving scal policy when the risk-free interest rate on government bonds is below the growth rate ( < ). We do so in the class of incomplete markets models pioneered by Bewley-Hugge -Aiyagari, but we allow for an arbitrary amount of ex ante heterogeneity in terms of preferences and income risk. We consider both the case of dynamic ine ciency as well as the more plausible case of dynamic e ciency. e key condition is that seigniorage revenue raised by government bonds exceeds the increase in the interest rate times the initial capital stock.e Pareto improving scal policies weakly expand every agent's budget set at every point in time. e policies improve risk sharing and potentially guide the economy to a more e cient level of capital. In simulations, we nd that the government must rely on moderate levels of debt issuance along the transition to the new steady state.

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Section: E Elasticity Of Aggregate Savingssupporting

confidence: 69%

Section: E Elasticity Of Aggregate Savingsmentioning

confidence: 99%

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Micro Risks and (Robust) Pareto Improving Policies

Aguiar¹,

Amador

Arellano

2022

Preprint

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“…We consider a three-state labor market status: employed in the formal sector, employed in the informal sector, and non-employed. The model is written in continuous time as in Achdou et al (2017).…”

Section: Modelmentioning

confidence: 99%

“…To quantify the respective contributions of the different channels, we develop a life-cycle heterogeneous agent model in line with Huggett (1996), where individuals face uninsured income and health risks (French (2005); De Nardi et al (2017)). The model takes advantage of continuous-time techniques developed by Achdou et al (2017) so that it reduces to a system of partial differential equations that can be solved efficiently and quickly. Economic agents can be employed (either in the formal sector or the informal sector) or non-employed.…”

Section: Introductionmentioning

confidence: 99%

Health, wealth, and informality over the life cycle

Albertini

Fairise²,

Terriau³

2021

Journal of Economic Dynamics and Control

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How do labor market and health outcomes interact over the life cycle in a country characterized by a large informal sector and strong inequalities? To quantify the effects of bad health on labor market trajectories, wealth, and consumption, we develop a life-cycle heterogeneous agents model with a formal and an informal sector. We estimate our model using data from the National Income Dynamics Study, the first nationally representative panel study in South Africa. We run counterfactual experiments and show that health shocks have an important impact on wealth and consumption. The channel through which these shocks propagate strongly depends on the job status of individuals at the time of the shock. For formal workers, bad health reduces labor efficiency, which translates into lower earnings. For informal workers and the non-employed, the shock lowers the job finding rate and in-creases job separation into nonemployment, which results in a surge in non-employment spells. As bad health spells persist more for nonemployed than for employed individuals, the interaction between labor market risks and health risks generates a vicious circle.

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Mean Field Games and Applications: Numerical Aspects

Achdou

Laurière

2020

Lecture Notes in Mathematics

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The theory of mean field games aims at studying deterministic or stochastic differential games (Nash equilibria) as the number of agents tends to infinity. Since very few mean field games have explicit or semi-explicit solutions, numerical simulations play a crucial role in obtaining quantitative information from this class of models. They may lead to systems of evolutive partial differential equations coupling a backward Bellman equation and a forward Fokker-Planck equation. In the present survey, we focus on such systems. The forward-backward structure is an important feature of this system, which makes it necessary to design unusual strategies for mathematical analysis and numerical approximation. In this survey, several aspects of a finite difference method used to approximate the previously mentioned system of PDEs are discussed, including convergence, variational aspects and algorithms for solving the resulting systems of nonlinear equations. Finally, we discuss in details two applications of mean field games to the study of crowd motion and to macroeconomics, a comparison with mean field type control, and present numerical simulations.

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Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach

Cited by 259 publications

References 116 publications

Micro Risks and (Robust) Pareto Improving Policies

Micro Risks and (Robust) Pareto Improving Policies

Health, wealth, and informality over the life cycle

Mean Field Games and Applications: Numerical Aspects

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