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摘要翻译：
这篇文章包含了新的工具，用于研究在一个动态经济系统中的大小平稳分布的形状，在这个系统中，单位经历随机的乘法冲击，并偶尔被重置。每个单元都有一个马尔可夫开关类型，这影响了它们的增长率和复位概率。我们证明了尺寸分布有一个Pareto上尾，其指数等于包含某个矩阵值函数的谱半径的方程的唯一正解。我们通过将这些结果应用于一个异质代理一般均衡模型中的财富分配来说明我们的结果的用途，在该模型中，代理从事私营企业和无风险债券交易，同时受到马尔可夫转换生产率和死亡风险的影响。一个看似合理的数值校准得出财富分布上尾的帕累托指数为1.39，类似于从横截面数据中获得的估计。
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英文标题：
《Determination of Pareto exponents in economic models driven by Markov
multiplicative processes》
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作者：
Brendan K. Beare and Alexis Akira Toda
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最新提交年份：
2021
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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一级分类：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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英文摘要：
This article contains new tools for studying the shape of the stationary distribution of sizes in a dynamic economic system in which units experience random multiplicative shocks and are occasionally reset. Each unit has a Markov-switching type which influences their growth rate and reset probability. We show that the size distribution has a Pareto upper tail, with exponent equal to the unique positive solution to an equation involving the spectral radius of a certain matrix-valued function. We illustrate the use of our results by applying them to the wealth distribution in a heterogeneous-agent general equilibrium model, in which agents engage in private enterprise and trade risk-free bonds while subject to Markov-switching productivity and mortality risk. A plausible numerical calibration yields a Pareto exponent of 1.39 for the upper tail of the wealth distribution, similar to estimates obtained from cross-sectional data.
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PDF链接：
https://arxiv.org/pdf/1712.01431
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