The Stationery Distribution of Wealth with Random Shocks

Christopher Bliss

No 2002-W6, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: A convergence model with wealth accumulation subject to i.i.d. random shocks is examined. The transfer function shows what k_{t+1} - wealth at t+1 - would be, given k_t, with no shock: It has a positive slope, but its concavity/convexity is indeterminate. The stationary distribution of wealth satisfies a Fredholm integral equation. This distribution can be examined by direct analysis of the wealth-accumulation stochastic process and via the Fredholm equation. The analysis resembles some econometric theory of time series. Economic theory forces consideration of a broad range of cases, including some which violate B-convergence. "Twin peaks" in the stationary distribution cannot be excluded.

Keywords: Convergence; stochastic process; wealth distribution (search for similar items in EconPapers)
JEL-codes: D3 E1 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2002-01-01
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0206

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