Recursive Allocations and Wealth Distribution with Multiple Goods: Existence, Survivorship, and Dynamics
Riccardo Colacito
University of North Carolina, Chapel Hill - Kenan-Flagler Business School
Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School
August 1, 2011
Abstract:
We characterize the equilibrium of a complete markets economy with multiple agents displaying a preference for the timing of the resolution of uncertainty. Utilities are defined over an aggregate of two goods. We provide conditions under which the solution of the planner's problem exists and it features a non-degenerate invariant distribution of Pareto weights. We show that a first order Taylor expansion about the unconditional mean of the economy is not only highly inaccurate, but it also implies that one of the two agents receives no wealth in the long-run positive probability.
Number of Pages in PDF File: 37
JEL Classification: C62, F37
working papers series
Suggested Citation
Colacito, Riccardo and Croce, Mariano Massimiliano, Recursive Allocations and Wealth Distribution with Multiple Goods: Existence, Survivorship, and Dynamics (August 1, 2011). Available at SSRN: http://ssrn.com/abstract=1647883 or http://dx.doi.org/10.2139/ssrn.1647883
