10 March 2020:
10 March 2020
Note change in Time
Alexis Akira Toda
(UC San Diego)
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.
2nd Floor, New Academic Building, LSE, 54 Lincoln's Inn Fields, WC2A 3LJ
Please note new venue
STICERD Econometrics Seminar Series
Click on the < < and > > symbols above to go back or forward a month.
Alternatively choose a month from below: