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

Christian Bayer (), Alan Rendall () and Klaus Wälde
Additional contact information
Christian Bayer: Weierstrass Institute
Alan Rendall: Johannes Gutenberg-University Mainz

No 1822, Working Papers from Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz

Abstract: 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)

Keywords: uncertainty in continuous time; counting process; existence; uniqueness; stability (search for similar items in EconPapers)
JEL-codes: C62 D91 J63 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2018-11-28
New Economics Papers: this item is included in nep-lab
References: Add references at CitEc
Citations:

Downloads: (external link)
https://download.uni-mainz.de/RePEc/pdf/Discussion_Paper_1822.pdf First version, 2018 (application/pdf)

Related works:
Journal Article: The invariant distribution of wealth and employment status in a small open economy with precautionary savings (2019)
Working Paper: The Invariant Distribution of Wealth and Employment Status in a Small Open Economy with Precautionary Savings (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jgu:wpaper:1822

Access Statistics for this paper

More papers in Working Papers from Gutenberg School of Management and Economics, Johannes Gutenberg-Universität Mainz Contact information at EDIRC.
Bibliographic data for series maintained by Research Unit IPP ().