This paper endogenizes the borrowing constraints on capital in a production economy with
incomplete markets. We find that these limits get looser with income, a property that is …

This paper examines a dynamic, stochastic endowment economy with two agents and two
financial securities. Markets are incomplete and agents can have heterogeneous tastes. We …

We estimate an equilibrium asset pricing model in which agents' preferences have an
unobserved external habit using the efficient method of moments (EMM). Given the …

The past two decades have seen a substantial increase in the use of computational methods
to solve dynamic general equilibrium problems. These methods are being used to analyze …

We develop methods to compute equilibria in dynamic models with incomplete asset
markets and heterogeneous agents. Using spline interpolation methods we approximate …

In this paper, we study an optimal consumption–leisure, investment, insurance and
retirement choice problem of an infinitely lived economic agent with constant elasticity of …

This paper examines the higher-order moments and nonlinear dynamic properties of
discount bond returns in an equilibrium heterogeneous agent economy with incomplete …

What is the relationship between wealth inequality and asset prices? We study this question
in a dynamic two-agent economy with incomplete markets. Agents face correlated labor …

The present paper endogeneizes the borrowing constraints on capital holdings in an infinite
horizon incomplete markets model with capital accumulation. In particular, it assumes that …

This paper endogenizes the borrowing constraints on capital holdings in an infinite horizon
incomplete markets model with production and idiosyncratic risk. In particular, it assumes …