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Notes on Consumption Theory : Deterministic and Stochastic Dynamic Models (2024)

Travaglini, Giuseppe, ; Calcagnini, Giorgio, ; Bellocchi, Alessandro,

Cham :Springer Nature Switzerland :

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UID:

almafu_9961492922902883

Umfang: 1 online resource (157 pages)

Ausgabe: 1st ed. 2024.

ISBN: 9783031549861 , 3031549864

Serie: Classroom Companion: Economics,

Inhalt: This textbook offers a compact, yet formal, synthesis of the broad field of consumption theory. Written in a coherent and accessible way, this book introduces graduate and postgraduate students to dynamic optimization applied to consumption under certainty and uncertainty, in discrete and continuous time. Delving into deterministic and stochastic models, including the use of Brownian motions, the book offers a deeper understanding of consumption decisions and their impact on asset pricing and investment in partial and general equilibrium. This book compiles lecture notes from advanced courses in micro- and macroeconomics, ensuring a self-contained introduction to the subject. Balancing simplicity with analytical rigor, the book equips readers with essential methodological tools for advanced research in economics. With empirical evidence and exercises integrated throughout, this textbook stands as the go-to resource for scholars and students alike, fostering further theoretical explorations in the field. Basic knowledge of economics, mathematics, and econometrics is recommended for a comprehensive understanding.

Anmerkung: Consumption and Certainty -- Consumption and Uncertainty in Discrete-time -- Consumption and Portfolio Rules -- Consumption and Economic Growth -- Consumption and Uncertainty in Continuous Time.

Weitere Ausg.: ISBN 9783031549854

Weitere Ausg.: ISBN 3031549856

Sprache: Englisch

Fachgebiete: Wirtschaftswissenschaften

RVK:

QC 110

DOI: 10.1007/978-3-031-54986-1

URL: https://doi.org/10.1007/978-3-031-54986-1

URL: Volltext (URL des Erstveröffentlichers)

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Online-Ressource

Notes on Consumption Theory : Deterministic and Stochastic Dynamic Models (2024)

Travaglini, Giuseppe, ; Calcagnini, Giorgio, ; Bellocchi, Alessandro,

Cham, Switzerland :Springer,

zur Merkliste hinzufügen auf der Merkliste

Details

UID:

edoccha_9961492922902883

Umfang: 1 online resource (157 pages)

Ausgabe: First edition.

ISBN: 3-031-54986-4

Serie: Classroom Companion

Anmerkung: Intro -- Preface -- Contents -- About the Authors -- 1 Consumption and Certainty -- 1.1 Introduction -- 1.2 A Two-Period Model -- 1.2.1 Optimal Allocation -- 1.2.2 Changes in the Interest Rate -- 1.3 Consumption and Investment -- 1.3.1 Technology Constraints -- 1.3.2 No Capital Markets -- 1.3.3 Capital Markets -- 1.4 Imperfect Capital Markets -- 1.4.1 Credit Rationing -- 1.5 T-Period Generalization with Discrete Time -- 1.5.1 EIS and Risk Aversion -- 1.6 A Formal Model -- 1.6.1 On the Transversality Condition -- 1.7 Consumption in Continuous Time -- 1.7.1 The Consumption Function -- 1.7.2 The Saving Function -- 2 Consumption and Uncertainty in Discrete Time -- 2.1 Introduction -- 2.2 Uncertain Income -- 2.2.1 Dynamic Programming -- 2.2.2 The Case of Quadratic Utility -- 2.2.3 The Certainty Equivalence Model -- 2.3 Permanent Income and Shocks -- 2.4 Uncertainty and Credit Rationing -- 2.5 Precautionary Saving -- 2.5.1 Risk Aversion and Precautionary Saving -- 2.5.2 Euler Equation and Precautionary Saving -- 2.6 Uncertain Returns: The Case of a Risky Asset -- 2.6.1 Euler Equation -- 2.7 Uncertain Returns with n-Risky Assets -- 3 Consumption and Portfolio Rules -- 3.1 Introduction -- 3.2 Consumption and Portfolio Rules -- 3.3 The Consumption Capital Asset Pricing Model -- 3.3.1 The Security Market Line -- 3.4 SML and Efficient Markets -- 3.4.1 The Theoretical Foundations of the EMH -- The Limits of Efficiency: When Information is Costly -- 3.5 Efficiency and Prices -- 3.6 The Random Walk Theory of Prices -- 3.6.1 The Martingale -- 3.6.2 Random Walk -- 3.7 Empirical Estimations -- 3.7.1 The Constant Relative Risk Aversion Function -- 3.7.2 The Risky Asset -- 3.7.3 The Risk-Free Asset -- 3.7.4 Equity Premium Puzzle -- 3.7.5 Risk-Free Rate Puzzle -- 3.8 Alternative Hypotheses on Preferences -- 3.8.1 Generalized Expected Utility. , 3.8.2 Consumption Habits -- 3.8.3 Behavioral Hypotheses -- 3.8.4 DRA and Portfolio Choice -- 4 Consumption and Economic Growth -- 4.1 Introduction -- 4.1.1 Consumers -- 4.1.2 Firms -- 4.1.3 Ramsey Problem: the Centralized Economy -- 4.1.4 The Modified Golden Rule -- 4.1.5 The Phase Diagram -- 4.1.6 The Decentralized Economy -- 4.2 Technological Progress -- 4.2.1 A Dynamic Production Function -- 4.2.2 Ramsey Model with Technological Progress -- 4.2.3 Endogenous Technological Progress -- 4.3 Sustainable Growth -- 4.3.1 The Hotelling's Rule -- 4.3.2 Consumption, Production, and Pollution -- 4.3.3 Sustainable Consumption -- 5 Consumption and Uncertainty in Continuous Time -- 5.1 Introduction -- 5.2 Wiener Process or Brownian Motion -- 5.2.1 Generalized Wiener Process -- 5.2.2 Generalized Brownian Motion or Ito Process -- 5.2.3 Non-differentiability of the Wiener Process -- 5.3 Ito's Lemma -- 5.4 Stochastic Dynamic Programming -- 5.4.1 Absolute Brownian Motion -- 5.4.2 Geometric Brownian Motion -- 5.5 Stochastic Optimal Control -- 5.5.1 Consumption and Portfolio Rules -- 5.5.2 Consumption and Nonrenewable Resources -- 5.5.3 Consumption of Durables -- 5.5.4 Consumption and Growth -- 5.5.5 Regulated Brownian Motion -- 5.5.6 Stochastic Income and Constrained Consumption.

Weitere Ausg.: ISBN 3-031-54985-6

Sprache: Englisch

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