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We provide a two line proof of the theorem of Uzawa (1961) that in the classic Solow/Swan growth model, only Harrod neutral (labor augmenting) technical progress is consistent with an equilibrium steady state
We study an agent-based model of evolution of wealth distribution in a macro-economic system. The evolution is driven by multiplicative stochastic fluctuations governed by the law of proportionate growth and interactions between agents. We…
In this paper, I propose a new general equilibrium model that explains stylized facts about venture capitalists' impact on their portfolio firms. Venture capitalists can help increase firms' productivity, yet they face increasing entry…
This paper characterizes equilibrium properties of a broad class of economic models that allow multiple heterogeneous agents to interact in heterogeneous manners across several markets. Our key contribution is a new theorem providing…
We introduce heterogeneous R&D productivities into an endogenous R&D network formation model, generalizing the framework of Goyal and Moraga-Gonz\'alez (2001). Heterogeneous productivities endogenously create asymmetric gains from…
Recent research in economic theory attempts to study optimal economic growth and spatial location of economic activity in a unified framework. So far, the key result of this literature - asymptotic convergence, even in the absence of…
This paper considers a simulation-based estimator for a general class of Markovian processes and explores some strong consistency properties of the estimator. The estimation problem is defined over a continuum of invariant distributions…
We study stable allocations in an exchange economy with indivisible goods. The problem is well-known to be challenging, and rich enough to encode fundamentally unstable economies, such as the roommate problem. Our approach stems from…
We present a robust version of the life-cycle optimal portfolio choice problem in the presence of labor income, as introduced in Biffis, Gozzi and Prosdocimi ("Optimal portfolio choice with path dependent labor income: the infinite horizon…
The aim here is to address the origins of sustainability for the real growth rate in the United States. For over a century of observations on the real GDP per capita of the United States a sustainable two percent growth rate has been…
We derive formulas for the performance of capital assets in continuous time from an efficient market hypothesis, with no stochastic assumptions and no assumptions about the beliefs or preferences of investors. Our efficient market…
Linear stochastic models and discretized kinetic theory are two complementary analytical techniques used for the investigation of complex systems of economic interactions. The former employ Langevin equations, with an emphasis on stock…
We study several models of growth driven by innovation and imitation by a continuum of firms, focusing on the interaction between the two. We first investigate a model on a technology ladder where innovation and imitation combine to…
Standard macroeconomic models assume that households are rational in the sense that they are perfect utility maximizers, and explain economic dynamics in terms of shocks that drive the economy away from the stead-state. Here we build on a…
In regression models fitted to data from complex survey designs, sampling weights often incorporate non-essential variation, inflating variance estimates. Stabilized weights mitigate this issue by adjusting sampling weights to account for…
The effects of saving and spending patterns on holding time distribution of money are investigated based on the ideal gas-like models. We show the steady-state distribution obeys an exponential law when the saving factor is set uniformly,…
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested against financial datasets, showing an extremely good agreement…
We consider a simple model of a closed economic system where the total money is conserved and the number of economic agents is fixed. In analogy to statistical systems in equilibrium, money and the average money per economic agent are…
We review some aspects, especially those we can tackle analytically, of a minimal model of closed economy analogous to the kinetic theory model of ideal gases where the agents exchange wealth amongst themselves such that the total wealth is…
In the General Theory, Keynes remarked that the economy's state depends on expectations, and that these expectations can be subject to sudden swings. In this work, we develop a multiple equilibria behavioural business cycle model that can…