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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…
A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monitored variance swap written on an asset with…
We investigate the dynamics of wealth inequality in an economy where households have positional preferences, with the strength of the positional concern determined endogenously by inequality of wealth distribution in the society. We…
The Keen model is a mathematical model that describes the dynamic evolution of wages, employment, and debt based on the known Minsky's Financial Instability Hypothesis. It consists of three first order nonlinear ordinary differential…
We study the propagation of uniformly translating fronts into a linearly unstable state, both analytically and numerically. We introduce a perturbative renormalization group (RG) approach to compute the change in the propagation speed when…
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,…
The stability of money value is an important requisite for a functioning economy, yet it critically depends on the actions of participants in the market themselves. Here we model the value of money as a dynamical variable that results from…
We study a class of dynamically consistent risk measures that robustify a time-homogeneous Markovian reference model by allowing for distributional uncertainty in its transition laws. We start from one-step convex risk evaluations in which…
We extend the stationary-state work fluctuation theorem to periodically modulated nonlinear systems. Such systems often have coexisting stable periodic states. We show that work fluctuations sharply increase near a kinetic phase transition…
This paper embeds a signaling friction into the continuous-time heterogeneous agent framework. A continuum of producers operate Cobb-Douglas technologies with regime-specific productivity $A_j \in \{A_L, A_H\}$. Stochastic arrival of…
We explore the role of non-ergodicity in the relationship between income inequality, the extent of concentration in the income distribution, and mobility, the feasibility of an individual to change their position in the income distribution.…
Regime detection is vital for the effective operation of trading and investment strategies. However, the most popular means of doing this, the two-state Markov-switching regression model (MSR), is not an optimal solution, as two volatility…
This work continues and substantially extends our recent work on switching diffusions with the switching processes that depend on the past states and that take values in a countable state space. That is, the discrete components of the…
I examine global dynamics in a monetary model with overlapping generations of finite-horizon agents and a binding lower bound on nominal interest rates. Debt targeting rules exacerbate the possibility of self-fulfilling liquidity traps, for…
This paper consider a highly general dissemination model that keeps track of the stochastic evolution of the distribution of wealth over a set of agents. There are two types of events: (i) units of wealth externally arrive, and (ii) units…
We study the steady-state performance of parallel-server systems under an immediate routing architecture with two sources of heterogeneity: servers and job classes, subject to compatibility constraints. We focus on the…
In a New Keynesian model where the trade-off between stabilising the aggregate inflation rate and the output gap arises from sectoral asymmetries, the gains from commitment are either zero or negligible. Thus, to the extent that economic…
Many multiagent systems rely on collective decision-making among self-interested agents, which raises deep questions about coalition formation and stability. We study social choice with endogenous, outcome-contingent transfers, where agents…
Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot be fully captured by mean-based models. We propose a…
This paper investigates the emergence of wealth inequality through a minimalist kinetic exchange model that incorporates two fundamental economic features: fixed-amount transactions and hard budget constraints. In contrast to the maximum…