Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/296302 
Year of Publication: 
2023
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 14 [Issue:] 1 [Year:] 2023 [Pages:] 201-233
Publisher: 
The Econometric Society, New Haven, CT
Abstract: 
We develop an analytical framework designed to solve and analyze heterogeneous-agent models that endogenously generate fat-tailed wealth distributions. We exploit the asymptotic linearity of policy functions and the analytical characterization of the Pareto exponent to augment the conventional solution algorithm with a theory of the tail. Our framework allows for a precise understanding of the very top of the wealth distribution (e.g., analytical expressions for top wealth shares, type distribution in the tail, and transition probabilities in and out of the tail) in addition to delivering improved accuracy and speed.
Subjects: 
Bewley-Huggett-Aiyagari model
Pareto exponent
power law
solution accuracy
JEL: 
C63
D31
D58
E21
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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