【题目】： Geometrically stopped Markovian random growth processes and Pareto tails

　　【主讲人】：Brendan K. Beare

　　Professor，University of Sydney

　　【时间】：2019年9月27日（周五）10：00-11：30

　　【地点】：北大经济学院107室

　　【摘要】：Many empirical studies document power law behavior in size distributions of economic interest such as cities, firms, income, and wealth. One mechanism for generating such behavior combines independent and identically distributed Gaussian additive shocks to log-size with a geometric age distribution. We generalize this mechanism by allowing the shocks to be non-Gaussian (but light-tailed) and dependent upon a Markov state variable. Our main results provide sharp bounds on tail probabilities, simple formulas for Pareto exponents, and comparative statics. We present two applications: we show that (i) the tails of the wealth distribution in a heterogeneous-agent dynamic general equilibrium model with idiosyncratic investment risk is Paretian, and (ii) a random growth model for the population dynamics of Japanese municipalities is consistent with the observed Pareto exponent but only after allowing for Markovian dynamics.

　　【主讲人简介】：

　　Brendan K. Beare

　　Ph.D., Economics. Yale University, 2007

　　Professor，University of Sydney

　　Research Interests: Econometric Theory, Financial Econometrics, Time Series Econometrics