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May 9, 2011 | History

Uninsured idiosyncratic investment risk and aggregate saving 1 edition

Cover of: Uninsured idiosyncratic investment risk and aggregate saving | Marios Angeletos

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Uninsured idiosyncratic investment risk and aggregate saving
George-Marios Angeletos

Published 2005 by Massachusetts Institute of Technology, Dept. of Economics in Cambridge, Mass .
Written in English.

About the Book

This paper augments the neoclassical growth model to study the macroeconomic effects of idiosyncratic investment risk. The general equilibrium is solved in closed form under standard assumptions for preferences and technologies. A simple condition is identified for incomplete markets to result in both a lower interest rate and a lower capital stock in the steady state: the elasticity of intertemporal substitution must be higher than the income share of capital. For plausible calibrations of the model, the reduction in the steady-state levels of aggregate savings and income relative to complete markets is quantitatively significant. Finally, cyclical variation in private investment risks is shown to amplify the transitional dynamics. Keywords: incomplete markets, heterogeneity, private equity, entrepreneurial risk, precautionary savings, amplification. JEL Classifications: D52, E13, E32, G11, O16, O41

Edition Notes

"January 15, 2005."

Includes bibliographical references (p. 28-30).

Abstract in HTML and working paper for download in PDF available via World Wide Web at the Social Science Research Network.

Series
Working paper series / Massachusetts Institute of Technology, Dept. of Economics -- working paper 05-08, Working paper (Massachusetts Institute of Technology. Dept. of Economics) -- no. 05-08.

The Physical Object

Pagination
30 p. :
Number of pages
30

ID Numbers

Open Library
OL24644061M
Internet Archive
uninsuredidiosyn00ange
OCLC/WorldCat
58810563

History

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May 9, 2011 Created by ImportBot initial import