TAILIEUCHUNG - Recursive macroeconomic theory, Thomas Sargent 2nd Ed - Chapter 17

Chapter 17 Incomplete Markets Models . Introduction In the complete markets model of chapter 8, the optimal consumption allocation is not history dependent: the allocation depends on the current value of the Markov state variable only. This outcome reflects the comprehensive opportunities | Chapter 17 Incomplete Markets Models . Introduction In the complete markets model of chapter 8 the optimal consumption allocation is not history dependent the allocation depends on the current value of the Markov state variable only. This outcome reflects the comprehensive opportunities to insure risks that markets provide. This chapter and chapter 19 describe settings with more impediments to exchanging risks. These reduced opportunities make allocations history dependent. In this chapter the history dependence is encoded in the dependence of a household s consumption on the household s current asset holdings. In chapter 19 history dependence is encoded in the dependence of the consumption allocation on a continuation value promised by a planner or principal. The present chapter describes a particular type of incomplete markets model. The models have a large number of ex ante identical but ex post heterogeneous agents who trade a single security. For most of this chapter we study models with no aggregate uncertainty and no variation of an aggregate state variable over time so macroeconomic time series variation is absent . But there is much uncertainty at the individual level. Households only option is to self-insure by managing a stock of a single asset to buffer their consumption against adverse shocks. We study several models that differ mainly with respect to the particular asset that is the vehicle for self-insurance for example fiat currency or capital. The tools for constructing these models are discrete-state discounted dynamic programming used to formulate and solve problems of the individuals and Markov chains used to compute a stationary wealth distribution. The models produce a stationary wealth distribution that is determined simultaneously with various aggregates that are defined as means across corresponding individual-level variables. - 561 - 562 Incomplete Markets Models We begin by recalling our discrete state formulation of a single-agent .

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