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The Invariant Distribution of Wealth and Employment Status in a Small Open Economy with Precautionary Savings

Christian BayerAlan D. RendallKlaus Wälde

出版	CESifo, Center for Economic Studies & Ifo Institute, 2018
URL	http://books.google.com.hk/books?id=1ZChzQEACAAJ&hl=&source=gbs_api

註釋

We study optimal savings in continuous time with exogenous transitions between employment and unemployment as the only source of uncertainty in a small open economy. We prove the existence of an optimal consumption path. We exploit that the dynamics of consumption and wealth between jumps can be expressed as a Fuchsian system. We derive conditions under which an invariant joint distribution for the state variables, i.e., wealth and labour market status, exists and is unique. We also provide conditions under which the distribution of these variables converges to the invariant distribution. Our analysis relies on the notion of T-processes and applies results on the stability of Markovian processes from Meyn and Tweedie (1993a, b,c).