Individual and Aggregate Constrained Efficient Intertemporal Wedges in Dynamic Mirrleesian Economies
2016/03/08
研討會日期 : 2016-03-08
時間 : 14:30
主講人 : Dr. Yi-Li Chien
主持人 : Professor Cheng-Chen Yang
地點 : Conference Room C103
演講者簡介 : Dr. Chien received his Ph.D. in Economics from University of California, Los Angeles in 2006. He is currently a Senior Economist at Research Division in Federal Reserve Bank of St. Louis. His primary research fields are Macroeconomics, Household Finance and Asset Pricing, and secondary research fields are Asymmetric Information and Dynamic Contracting.
演講摘要 : Assuming a neoclassical production technology, this paper characterizes constrained efficient intertemporal wedges for the macro aggregate as well as the micro individual allocation of dynamic Mirrleesian economies. We first construct "Pareto-Negishi weights" from the multipliers on a sequence of temporary incentive constraints. For a fairly general stochastic process of idiosyncratic productivity shocks, we show that the evolution of the Pareto-Negishi weight associated with agents' consumption is a nonnegative martingale. This powerful property enables us to deliver three contributions to the literature. First, we demonstrate that several celebrated results on the intertemporal wedge of the individual allocation can all be attributed to their origin in the nonnegative martingale property of consumption Pareto-Negishi weights. Second, we address optimal distortions for the aggregate allocation and establish that the constrained efficient intertemporal wedge for aggregate saving will be negative or positive, depending on whether the intertemporal elasticity of substitution is elastic or inelastic. This result is another application of the nonnegative martingale property. Third, we show how the nonnegative martingale property is modified in the presence of additional frictions and shed new light on incorporating different types of constraints documented in the literature.
