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        1. 論壇講座

          論壇講座

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          第2期“計量、金融和大數據分析workshop” 通知

          2019-09-25  

          【題目】: Geometrically stopped Markovian random growth processes and Pareto tails

          【主講人】:Brendan K. Beare   Professor,University of Sydney

          【時間】:2019年9月27日(周五)10:00-11:30

          【地點】:北大經濟學院107室

          【摘要】:Many empirical studies document power law behavior in size distributions of economic interest such as cities, firms, income, and wealth. One mechanism for generating such behavior combines independent and identically distributed Gaussian additive shocks to log-size with a geometric age distribution. We generalize this mechanism by allowing the shocks to be non-Gaussian (but light-tailed) and dependent upon a Markov state variable. Our main results provide sharp bounds on tail probabilities, simple formulas for Pareto exponents, and comparative statics. We present two applications: we show that (i) the tails of the wealth distribution in a heterogeneous-agent dynamic general equilibrium model with idiosyncratic investment risk is Paretian, and (ii) a random growth model for the population dynamics of Japanese municipalities is consistent with the observed Pareto exponent but only after allowing for Markovian dynamics.

          【主講人簡介】: Brendan K. Beare Professor,University of Sydney Ph.D., Economics. Yale University, 2007 Research Interests: Econometric Theory, Financial Econometrics, Time Series Econometrics

            


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