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10 March 2020:

Tuesday  10 March 2020  18:00 - 20:00

LSE Presents The People Vs Social Sciences


Old Theatre, Ground Floor, Old Building, LSE, Houghton Street, London WC2A 2AE

Register here to attend

STICERD Special Events
Tuesday  10 March 2020  12:30 - 14:00
Note change in Time

Geometrically Stopped Markovian Random Growth Processes and Pareto Tails

Alexis Akira Toda (UC San Diego)

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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, a simple equation determining 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 are 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.

NAB 2.08, 2nd Floor, New Academic Building, LSE, 54 Lincoln's Inn Fields, WC2A 3LJ

Please note new venue

STICERD Econometrics Seminar Series
Tuesday  10 March 2020  14:00 - 15:30


Gerard Roland (Berkeley)

32L 3.05, 3rd Floor Conference Room, LSE, 32 Lincoln's Inn Fields, London WC2A 3PH

Political Science and Political Economy Research Seminar
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