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We study dynamic mechanism design in a pure-exchange economy with privately observed idiosyncratic income. In the standard infinitely lived hidden-income benchmark of Green (1987) and Thomas-Worrall (1990), constrained-efficient allocations…
Simple agent based exchange models are a commonplace in the study of wealth distribution of artificial societies. Generally, each agent is characterized by its wealth and by a risk-aversion factor, and random exchanges between agents allow…
We develop a tractable macroeconomic model that captures dynamic behaviors across multiple timescales, including business cycles. The model is anchored in a dynamic capital demand framework reflecting an interactions-based process whereby…
It is widely assumed that increases in economic productivity necessarily lead to economic growth. In this paper, it is shown that this is not always the case. An idealized model of an economy is presented in which a new technology allows…
Ten years ago we presented a modified version of Okun law for the biggest developed economies and reported its excellent predictive power. In this study, we revisit the original models using the estimates of real GDP per capita and…
In many economic contexts, agents from a same population team up to better exploit their human capital. In such contexts (often called "roommate matching problems"), stable matchings may fail to exist even when utility is transferable. We…
High complexity models are notorious in machine learning for overfitting, a phenomenon in which models well represent data but fail to generalize an underlying data generating process. A typical procedure for circumventing overfitting…
In order to scale standard Gaussian process (GP) regression to large-scale datasets, aggregation models employ factorized training process and then combine predictions from distributed experts. The state-of-the-art aggregation models,…
We study a pure-exchange incomplete-market economy with heterogeneous agents. In each period, the agents choose how much to save (i.e., invest in a risk-free bond), how much to consume, and which bundle of goods to consume while their…
In this article, we discuss a dynamical stochastic model that represents the time evolution of income distribution of a population, where the dynamics develop from an interplay of multiple economic exchanges in the presence of…
We develop a distribution regression model under endogenous sample selection. This model is a semi-parametric generalization of the Heckman selection model. It accommodates much richer effects of the covariates on outcome distribution and…
We study the production, entry, and technological decisions of firms in the presence of bribery. We find that bribery can be justified even in the absence of bureaucratic inefficiencies. We document substantial technology-specific…
In this paper I propose a micro-based innovation driven general equilibrium growth-model allowing for endogenous entry and exit as well as three different types of research. I make the novel distinction between three types of firms, namely…
An aggregated model is proposed, of which the partial-sum process scales to the Karlin stable processes recently investigated in the literature. The limit extremes of the proposed model, when having regularly-varying tails, are…
In this article, we discuss the continuous version of the generalized exchange-driven growth model which is a variant of the coagulation model in which a smaller size particle is detached from a bigger one and merges with another particle.…
This paper studies the economic role of persistent dispersion in allocations across agents. We develop a tractable model in which firms allocate resources under imperfect information and behavioral updating, generating sustained…
We propose a stochastic map model of economic dynamics. In the last decade, an array of observations in economics has been investigated in the econophysics literature, a major example being the universal features of inequality in terms of…
It is well-known that value added per worker is extremely heterogeneous among firms, but relatively little has been done to characterize this heterogeneity more precisely. Here we show that the distribution of value-added per worker…
We investigate the macroeconomic consequences of narrow banking in the context of stock-flow consistent models. We begin with an extension of the Goodwin-Keen model incorporating time deposits, government bills, cash, and central bank…
We propose a discrete-time econometric model that combines autoregressive filters with factor regressions to predict stock returns for portfolio optimisation purposes. In particular, we test both robust linear regressions and general…