Sign in to use this feature.

Years

Between: -

Subjects

remove_circle_outline
remove_circle_outline

Journals

Article Types

Countries / Regions

Search Results (1)

Search Parameters:
Keywords = Kesten equations

Order results
Result details
Results per page
Select all
Export citation of selected articles as:
10 pages, 298 KiB  
Article
Stochastic Ordering of Stationary Distributions of Linear Recurrences: Further Results and Economic Applications
by Christian Di Pietro, Mariafortuna Pietroluongo and Marco M. Sorge
Economies 2023, 11(4), 125; https://doi.org/10.3390/economies11040125 - 20 Apr 2023
Cited by 2 | Viewed by 1586
Abstract
We investigate pairwise stochastic comparisons of stationary solutions to the linear recurrence Xt+1=AtXt+Bt, where At and Bt are non-negative random variables. We establish novel order-preserving properties, which enable us [...] Read more.
We investigate pairwise stochastic comparisons of stationary solutions to the linear recurrence Xt+1=AtXt+Bt, where At and Bt are non-negative random variables. We establish novel order-preserving properties, which enable us to obtain comparison theorems about well-known measures of conditional size, tail variability and skewness across probability distributions. While useful in studies of ergodic wealth accumulation processes and the persistence of inequality, our results can fruitfully be exploited to conduct comparative statics exercises in structural models entailing Kesten-type reduced-form representations. An application of our analysis to a dynamic asset accumulation model uncovers the qualitatively similar effects of capital income and earnings taxation on expected wealth concentration over higher quantiles as well as on conditional upper tail dispersion of wealth holdings, qualifying previous results that solely rely on the determination of Pareto exponents. Full article
(This article belongs to the Section Macroeconomics, Monetary Economics, and Financial Markets)
Back to TopTop