TimeSeriesCEQ, January 28, 2007
The Time Series Behavior of Consumption
in the CEQ PIH Model
1
Theory
Consider the Permanent Income Hypothesis model of consumption in which the
utility function is quadratic,
u (c) = (c c)2
2
u(c) = (c c).
(1)
(2)
where c
February 14, 2011
Syllabus for 180.606
Advanced Topics in Macroeconomics
February 14, 2011
Professor Christopher D. Carroll
http:/econ.jhu.edu/people/ccarroll/
Oce Hours: Wednesday, 13:30-15:30
To make an appointment:
Password hopkins for Google calendar:
Comments Welcome
Lecture Notes On Solution Methods for Representative
Agent Dynamic Stochastic Optimization Problems
Christopher D. Carroll
[email protected]
September 26, 2005
Abstract
These lecture notes sketch a set of techniques that are useful in solv
SolvingMicroDSOPs
Lecture Notes On Solution Methods for Microeconomic
Dynamic Stochastic Optimization Problems
Christopher D. Carroll
February 16, 2011
Abstract
These notes sketch some techniques for solving microeconomic dynamic
stochastic optimization p
RamseyCointegration, February 27, 2005
Cointegration and the Ramsey Model
This handout examines implications of the Ramsey model for cointegration
between consumption, income, and capital.
Consider the following Ramsey/Cass-Koopmans growth model with labo
TimeSeriesBuerStock.tex, October 30, 2005
The Time Series Behavior of Consumption
in the Buer Stock Model
1
Theory
Consider a consumer solving the maximization problem
T
V t ( Xt , P t )
St
Wt+1
Xt+1
Yt+1
Pt+1
=
s.t.
=
=
=
=
=
s t u (C s )
max u(Ct ) + E
c
February 13, 2011, Christopher Carroll
CointegrationAndCAY
Cointegration and the Dynamics of C, B, and Y
Consider the intertemporal budget constraint for an innite-horizon representative
agents consumption problem,
Pt (C ) = Bt + Ht
(1)
Ot
where Bt is t
CampManCRRAwithTimeVaryingR, February 3, 2011
The Dynamics of Consumption with Time Varying R
The intertemporal budget constraint for an innite-horizon representative
agent can be written as
Pt ( C ) = B t + H t
= Ot
(1)
(2)
where B t is the consumers beg
c
February 1, 2011, Christopher Carroll
CRRA-RateRisk
Consumption Out of Risky Assets
Merton (1969) and Samuelson (1969) solve the optimal consumption problem for a consumer who receives no labor income and whose only available
nancial asset has a risky r
Log Nondurables and Services C and Disposable Y
6.5
7
7.5
8
8.5
9
Consumption and Income
U.S. Quarterly NIPA Data
1950q1
1960q1
1970q1
1980q1
timeq
lcns
1990q1
ly
2000q1
Invariant Distribution in Buer-Stock Saving and Stochastic Growth
Models
Adam Szeidl
UC-Berkeley
January 2008
Abstract
I derive a simple condition for the existence of a stable invariant distribution of an
increasing Markov process on a non-compact state
NBER WORKING PAPER SERIES
UNDERSTANDING TREND AND CYCLE IN ASSET VALUES:
REEVALUATING THE WEALTH EFFECT ON CONSUMPTION
Martin Lettau
Sydney Ludvigson
Working Paper 9848
http:/www.nber.org/papers/w9848
NATIONAL BUREAU OF ECONOMIC RESEARCH
1050 Massachusett
NBER WORKING PAPER SERIES
CONSUMPTION, INCOME, AND INTEREST RATES:
REINTERPRETING THE TIME SERIES EVIDENCE
John Y. Campbell
N. Gregory Mankiw
Working Paper No. 2924
NATIONAL BUREAU OF ECONOMIC RESEARCH
1050 Massachusetts Avenue
Cambridge, MA 02138
April 1
The Feds Dual Mandate, Problems
1. Suppose that, in the efficiency wage model, it becomes more difficult for the firm to distinguish
high-ability workers from low-ability workers in the labor market. What effects does this have on
e(w) and the efficiency
Dr. Frank D. Weiss
The Johns Hopkins University
AY 2004-05
Fall Semester
International Trade Theory
Midterm Exam
1 1/2 Hours
Please answer all questions briefly. Use only well labeled graphs to aid in explanation, but not as
a substitute for explanation.
Solow in the Tropics
John Toye
Growth Economics is often taken to be particularly associated with
the problem of developing the underdeveloped. The appearance of a
branch of theory called Growth Theory, at a time when the economics of
underdevelopment has
AERHabitsHandout.tex, March 22, 2004
Handout On Saving and Growth with Habit Formation
1
The Problem
Consider the problem of an individual who cares about consumption relative to a
habit stock determined by past consumption, and who takes into account the
Habits EconLett 606.tex, April 14, 2004
Solving Consumption Models with Habit Formation1
1
The Problem
The consumers goal is to
T
max
st u(cs , hs )
Et
(1)
s =t
where is the constant time preference factor, hs is the habit stock, and all other
variables
NBER WORKING PAPER SERIES
CONSUMPTION RISK AND EXPECTED STOCK RETURNS
Jonathan A. Parker
Working Paper 9548
http:/www.nber.org/papers/w9548
NATIONAL BUREAU OF ECONOMIC RESEARCH
1050 Massachusetts Avenue
Cambridge, MA 02138
March 2003
Prepared for the AEA
INTERNATIONAL ECONOMIC REVIEW
Vol. 44, No. 1, February 2003
PORTFOLIO CHOICE AND LIQUIDITY CONSTRAINTS
BY MICHAEL HALIASSOS AND ALEXANDER MICHAELIDES1
University of Cyprus and HERMES; University of Cyprus,
London School of Economics, CEPR, and HERMES
We s
Oxford University Press 2001
All rights reserved
#
Oxford Economic Papers 53 (2001), 241259
241
Homeownership, committed expenditure
risk, and the stockholding puzzle
By Michael C. Fratantoni
Fannie Mae, Mail Stop 1H-3N-01, 3900 Wisconsin Ave., NW, Washin
c
February 13, 2011, Christopher Carroll
EquityPremiumPuzzle
The Equity Premium Puzzle and the Riskfree Rate
This handout derives the equity premium puzzle (Mehra and Prescott (1985). Consider a representative agent solving the joint consumption and portf
c
February 4, 2011, Christopher Carroll
StockValuation
Stock Market Valuation
1 The Level of the Price
The traditional theory of the stock market states that the rational price of a share of
stock is the present discounted value of the stream of dividends
EpidemiologySFI.tex
The Epidemiology of Macroeconomic Expectations
Christopher D. Carroll
[email protected]
April 15, 2003
Abstract
Macroeconomists have long emphasized the importance of expectations in determining macroeconomic outcomes, and an enormous t
NBER WP Version
Portfolios of the Rich
Christopher D. Carroll
[email protected]
July 19, 2000
Keywords: portfolios, risk aversion, entrepreneurship, capital market imperfections,
bequests
JEL Codes: D10, D31, D91, E21, G11
NBER and The Johns Hopkins Univer
Final Version
Why Do the Rich Save So Much?
Christopher D. Carroll
The Johns Hopkins University
[email protected]
Abstract
This paper considers several alternative explanations for the fact that households
with higher levels of lifetime income (the rich) h
PFLCPIHSims.nb
1
In[213]:=
< PFLCPIHSims.m
C
Y and C By Age, Modigliani Parameter Values
3.5
3
2.5
2
1.5
1
0.5
30
W
40
50
60
70
80
Age
Wealth By Age, Modigliani Parameter Values
30
25
20
15
10
5
30
Age Range
Retirement
Pension Level
40
:825, 80<
:65
:0.
T
LifeCycleMaxProb
PF/CEQ Life-Cycle/Permanent Income Model
max
u(Ct ) + Et
cfw_Cs T
t
T
(st)
s=t+1
(1)
u (C s )
s.t.
Xt+1 = R(Xt Ct ) + Yt+1
Yt+1 = Gt Yt
C 1
u (C ) =
where > 1
1
(2)
(3)
(4)
Life-Cycle/Permanent Income Model with Uncertainty
u(Ct ) + Et
c
December 3, 2007, Christopher Carroll
RamseyCassKoopmansRefresh
The Ramsey/Cass-Koopmans Model - A Refresher
A representative agent at time 0 solves the problem
u(ct )et dt
max
(1)
0
kt
s.t.
= f (kt ) kt nkt ct
(2)
(3)
where lower-case variables indicat