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Article Dans Une Revue The Review of Economic Studies Année : 2022

Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach

Résumé

We recast the Aiyagari–Bewley–Huggett model of income and wealth distribution in continuous time. This workhorse model—as well as heterogeneous agent models more generally—then boils down to a system of partial differential equations, a fact we take advantage of to make two types of contributions. First, a number of new theoretical results: (1) an analytic characterization of the consumption and saving behaviour of the poor, particularly their marginal propensities to consume; (2) a closed-form solution for the wealth distribution in a special case with two income types; (3) a proof that there is a unique stationary equilibrium if the intertemporal elasticity of substitution is weakly greater than one. Second, we develop a simple, efficient and portable algorithm for numerically solving for equilibria in a wide class of heterogeneous agent models, including—but not limited to—the Aiyagari–Bewley–Huggett model.

Dates et versions

hal-03886376 , version 1 (06-12-2022)

Identifiants

Citer

Yves Achdou, Jiequn Han, Jean-Michel Lasry, Pierre Louis Lions, Benjamin Moll. Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach. The Review of Economic Studies, 2022, 89 (1), pp.45-86. ⟨10.1093/restud/rdab002⟩. ⟨hal-03886376⟩
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