Giorgio E. Primiceri

Northwestern University - Department of Economics

2003 Sheridan Road

Evanston, IL 60208

United States

http://faculty.econ.northwestern.edu/faculty/primiceri

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

25

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1,861

CITATIONS
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in Total Papers Citations

566

Scholarly Papers (25)

1.

Time Varying Structural Vector Autoregressions and Monetary Policy

Number of pages: 46 Posted: 08 Jan 2003
Giorgio E. Primiceri
Northwestern University - Department of Economics
Downloads 200 (149,870)
Citation 103

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Time varying coefficients, multivariate stochastic volatility, Gibbs sampling, Taylor rule, monetary policy shocks, identification

2.
Downloads 194 (154,281)
Citation 103

Investment Shocks and Business Cycles

FRB of New York Staff Report No. 322, FRB of Chicago Working Paper No. 2008-12
Number of pages: 53 Posted: 27 Mar 2008
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 176 (168,472)
Citation 58

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DSGE model, imperfect competition, endogenous markups, Bayesian methods, Business Cycles, Bayesian Estimation

Investment Shocks and Business Cycles

NBER Working Paper No. w15570
Number of pages: 38 Posted: 08 Dec 2009 Last Revised: 19 Jul 2010
Giorgio E. Primiceri and Andrea Tambalotti
Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 15 (564,955)

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Investment Shocks and Business Cycles

CEPR Discussion Paper No. DP6739
Number of pages: 48 Posted: 11 Jun 2008
Giorgio E. Primiceri, Andrea Tambalotti and Alejandro Justiniano
Northwestern University - Department of Economics, Federal Reserve Bank of New York and Federal Reserve Bank of Chicago
Downloads 3 (649,743)
Citation 117
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Bayesian, DSGE model, endogenous markups, imperfect competition

3.

Measuring the Equilibrium Real Interest Rate

Economic Perspectives, Vol. XXXIV, No. 1, 2010
Number of pages: 14 Posted: 11 Mar 2010
Alejandro Justiniano and Giorgio E. Primiceri
Federal Reserve Bank of Chicago and Northwestern University - Department of Economics
Downloads 167 (176,363)
Citation 8

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real interest rate, potential output, structural models, state-space representation, Model Construction and Estimation, Macroeconomics and Monetary Economics, Monetary Policy

4.

Time-Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum

FRB of New York Staff Report No. 619
Number of pages: 6 Posted: 18 May 2013
Marco Del Negro and Giorgio E. Primiceri
Federal Reserve Bank of New York and Northwestern University - Department of Economics
Downloads 134 (211,478)
Citation 415

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Bayesian methods, time varying volatility

5.

Inequality Over the Business Cycle: Estimating Income Risk Using Micro-Data on Consumption

Number of pages: 50 Posted: 11 Sep 2002
Giorgio E. Primiceri and Thijs van Rens
Northwestern University - Department of Economics and University of Warwick - Department of Economics
Downloads 133 (212,762)

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consumption, inequality, risk, incomplete markets, business cycle

6.

Inflation-Gap Persistence in the U.S

NBER Working Paper No. w13749
Number of pages: 42 Posted: 24 Jan 2008 Last Revised: 28 Jul 2010
Timothy Cogley, Giorgio E. Primiceri and Thomas J. Sargent
Leonard N. Stern School of Business - Department of Economics, Northwestern University - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 119 (231,609)
Citation 106

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7.
Downloads 87 (286,339)
Citation 9

Credit Supply and the Housing Boom

NBER Working Paper No. w20874
Number of pages: 45 Posted: 27 Jan 2015 Last Revised: 07 May 2015
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 36 (445,058)

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Credit Supply and the Housing Boom

FRB of New York Staff Report No. 709
Number of pages: 44 Posted: 11 Feb 2015
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 32 (463,297)

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housing and credit boom, house prices, collateral constraints, leverage restrictions

Credit Supply and the Housing Boom

FRB of New York Staff Report No. 709
Number of pages: 44 Posted: 18 Aug 2015
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 19 (539,132)

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housing and credit boom, house prices, collateral constraints, leverage restrictions

Credit Supply and the Housing Boom

CEPR Discussion Paper No. DP10358
Number of pages: 46 Posted: 02 Feb 2015
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
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Citation 16
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collateral constraints, house prices, housing and credit boom, leverage restrictions

8.

Credit Supply and the Housing Boom

FRB of Chicago Working Paper No. 2014-21
Number of pages: 49 Posted: 19 Dec 2014
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 84 (292,611)
Citation 1

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Credit Supply, Housing Boom, Borrowing Constraints, Lending Constraints, Household Debt

9.

Predictable Life-Cycle Shocks, Income Risk and Consumption Inequality

Number of pages: 37 Posted: 02 Apr 2006
Giorgio E. Primiceri and Thijs van Rens
Northwestern University - Department of Economics and University of Warwick - Department of Economics
Downloads 80 (301,288)
Citation 3

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consumption, inequality, risk, heterogeneous income profiles

10.
Downloads 76 (310,571)
Citation 29

Prior Selection for Vector Autoregressions

ECB Working Paper No. 1494
Number of pages: 41 Posted: 22 Nov 2012
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 54 (376,369)

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forecasting, Bayesian methods, marginal likelihood, hierarchical modeling, impulse responses

Prior Selection for Vector Autoregressions

NBER Working Paper No. w18467
Number of pages: 37 Posted: 20 Oct 2012 Last Revised: 05 Nov 2012
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 16 (558,354)
Citation 86

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Prior Selection for Vector Autoregressions

CEPR Discussion Paper No. DP8755
Number of pages: 34 Posted: 20 Jan 2012
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 6 (626,069)
Citation 1
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Bayesian Methods, Forecasting, Hierarchical Modeling, Impulse Responses, Marginal Likelihood

Economic Predictions with Big Data: The Illusion of Sparsity

FRB of New York Staff Report No. 847
Number of pages: 29 Posted: 07 May 2018
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 66 (339,763)
Citation 13

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model selection, shrinkage, high dimensional data

Economic Predictions with Big Data: The Illusion of Sparsity

CEPR Discussion Paper No. DP12256
Number of pages: 28 Posted: 11 Sep 2017
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
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Citation 1
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12.

Intertemporal Disturbances

NBER Working Paper No. w12243
Number of pages: 40 Posted: 25 May 2006 Last Revised: 31 Jul 2006
Giorgio E. Primiceri, Ernst Schaumburg and Andrea Tambalotti
Northwestern University - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 65 (338,302)
Citation 1

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13.
Downloads 61 (349,348)
Citation 32

Household Leveraging and Deleveraging

FRB of New York Staff Report No. 602
Number of pages: 33 Posted: 06 Mar 2013
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 53 (379,615)

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household debt, mortgages, house prices

Household Leveraging and Deleveraging

NBER Working Paper No. w18941
Number of pages: 34 Posted: 05 Apr 2013
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 8 (612,128)
Citation 27

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Household Leveraging and Deleveraging

CEPR Discussion Paper No. DP9671
Number of pages: 36 Posted: 07 Oct 2013
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 0
Citation 30
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Collateral constraints, Financial liberalization, House prices, Household debt

Heterogeneous Life-Cycle Profiles, Income Risk and Consumption Inequality

Number of pages: 38 Posted: 24 Jul 2007
Giorgio E. Primiceri and Thijs van Rens
Northwestern University - Department of Economics and University of Warwick - Department of Economics
Downloads 29 (478,753)
Citation 4

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Consumption, inequality, risk, incomplete markets, heterogeneous income profiles

Heterogeneous Life-Cycle Profiles, Income Risk and Consumption Inequality

IZA Working Paper No. 3239
Number of pages: 40 Posted: 23 May 2008
Giorgio E. Primiceri and Thijs van Rens
Northwestern University - Department of Economics and University of Warwick - Department of Economics
Downloads 27 (489,700)
Citation 39

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consumption, inequality, risk, incomplete markets, heterogeneity

15.

The Time Varying Volatility of Macroeconomic Fluctuations

NBER Working Paper No. w12022
Number of pages: 50 Posted: 27 Apr 2006 Last Revised: 02 Jul 2009
Giorgio E. Primiceri and Alejandro Justiniano
Northwestern University - Department of Economics and Federal Reserve Bank of Chicago
Downloads 53 (373,603)
Citation 296

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16.
Downloads 41 (415,225)

The Mortgage Rate Conundrum

FRB of NY Staff Report No. 829
Number of pages: 30 Posted: 17 Nov 2017
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 15 (564,955)

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credit boom, housing boom, securitization, private label, subprime

The Mortgage Rate Conundrum

FRB of Chicago Working Paper No. WP-2017-23
Number of pages: 36 Posted: 10 Nov 2017
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 13 (578,148)

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Credit boom, housing boom, mortgage loans, securitization, private label, subprime

The Mortgage Rate Conundrum

NBER Working Paper No. w23784
Number of pages: 31 Posted: 11 Sep 2017
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 12 (584,906)

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The Mortgage Rate Conundrum

CEPR Discussion Paper No. DP12265
Number of pages: 32 Posted: 11 Sep 2017
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 1 (675,498)
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Credit boom, housing boom, private label, Securitization, subprime.

17.
Downloads 38 (427,059)
Citation 53

Investment Shocks and the Relative Price of Investment

FRB of New York Staff Report No. 411
Number of pages: 32 Posted: 15 Dec 2009
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 35 (449,506)
Citation 13

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business cycles, financial factors, investment specific technology, DSGE model

Investment Shocks and the Relative Price of Investment

CEPR Discussion Paper No. DP7598
Number of pages: 34 Posted: 11 Jan 2010
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 3 (649,743)
Citation 111
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Business cycles, DSGE model, financial factors, investment-specific technology

18.
Downloads 37 (431,112)
Citation 17

Learning the Wealth of Nations

NBER Working Paper No. w14595
Number of pages: 49 Posted: 29 Dec 2008 Last Revised: 02 Jun 2009
Francisco J. Buera, Alexander Monge-Naranjo and Giorgio E. Primiceri
Washington University in St. Louis, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Northwestern University - Department of Economics
Downloads 33 (458,509)

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Learning the Wealth of Nations

CEPR Discussion Paper No. DP8030
Number of pages: 50 Posted: 22 Nov 2010
Francisco J. Buera, Alexander Monge-Naranjo and Giorgio E. Primiceri
Washington University in St. Louis, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Northwestern University - Department of Economics
Downloads 4 (640,911)
Citation 37
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beliefs, development, growth, market-oriented policy

19.
Downloads 32 (452,070)
Citation 4

Priors for the Long Run

ECB Working Paper No. 2132; ISBN: 978-92-899-3237-0
Number of pages: 51 Posted: 01 Mar 2018
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 18 (545,586)

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Bayesian vector autoregression, forecasting, overfitting, initial conditions, hierarchical model

Priors for the Long Run

FRB of NY Staff Report No. 832
Number of pages: 55 Posted: 26 Nov 2017
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 14 (571,580)

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Bayesian vector autoregression, forecasting, overfitting, initial conditions, hierarchical model

Priors for the Long Run

CEPR Discussion Paper No. DP11261
Number of pages: 47 Posted: 09 May 2016
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 0
Citation 4
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20.

Why Inflation Rose and Fell: Policymakers' Beliefs and Us Postwar Stabilization Policy

NBER Working Paper No. w11147
Number of pages: 61 Posted: 16 Mar 2005 Last Revised: 08 Aug 2009
Giorgio E. Primiceri
Northwestern University - Department of Economics
Downloads 31 (456,754)
Citation 91

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A Simple Model of Subprime Borrowers and Credit Growth

FRB of NY Staff Report No. 766
Number of pages: 17 Posted: 04 Feb 2016 Last Revised: 30 Aug 2017
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 19 (539,132)

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home prices, housing boom, household debt, credit supply, collateral constraints

A Simple Model of Subprime Borrowers and Credit Growth

NBER Working Paper No. w21942
Number of pages: 17 Posted: 01 Feb 2016 Last Revised: 18 Jun 2018
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 8 (612,128)

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A Simple Model of Subprime Borrowers and Credit Growth

CEPR Discussion Paper No. DP11083
Number of pages: 18 Posted: 02 Feb 2016
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 0
Citation 4
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collateral constraint, credit supply, house price, household debt, housing boom

The Effects of the Saving and Banking Glut on the U.S. Economy

NBER Working Paper No. w19635
Number of pages: 42 Posted: 16 Nov 2013
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 14 (571,580)
Citation 12

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The Effects of the Saving and Banking Glut on the U.S. Economy

FRB of Chicago Working Paper No. 2013-17
Number of pages: 46 Posted: 14 Dec 2013
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 12 (584,906)

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Deleveraging, House Prices, Saving Glut, Banking Glut

The Effects of the Saving and Banking Glut on the U.S. Economy

CEPR Discussion Paper No. DP9729
Posted: 14 Nov 2013
Giorgio E. Primiceri and Andrea Tambalotti
Northwestern University - Department of Economics and Federal Reserve Bank of New York
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Capital flows, Collateral constraints, Global imbalances, House prices, Household debt

Is There a Trade-Off between Inflation and Output Stabilization?

NBER Working Paper No. w17071
Number of pages: 36 Posted: 23 May 2011 Last Revised: 11 Nov 2013
University of Oxford, Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 22 (520,048)

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Is There a Trade-Off between Inflation and Output Stabilization?

CEPR Discussion Paper No. DP8407
Number of pages: 38 Posted: 06 Jun 2011
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 2 (660,960)
Citation 34
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optimal policy, output gap, potential output

24.

The Effects of the Saving and Banking Glut on the U.S. Economy

FRB of New York Staff Report No. 648
Number of pages: 40 Posted: 24 Oct 2013
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 17 (532,499)

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U.S. Trade Deficit, household debt

25.

Heterogenous Life-Cycle Profiles, Income Risk and Consumption Inequality

CEPR Discussion Paper No. 5881
Number of pages: 41 Posted: 28 Dec 2006
Giorgio E. Primiceri and Thijs van Rens
Northwestern University - Department of Economics and University of Warwick - Department of Economics
Downloads 13 (555,983)
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Consumption, inequality, risk, incomplete markets, heterogeneity