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A Simple Probabilistic Approach of the Yard-Sale Model

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We propose in the present paper a probabilistic approach of the so-called Hayes (2002) Yard-Sale model using classical diffusion approximations of Markov chains. We partly recover, at the very least for small and high frequency transactions, recent results of Boghosian (2014) and Boghosian et al. (2015) concerning both wealth condensation in the absence of redistribution mechanisms and steady state distributions when a uniform capital taxation is imposed

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  • Christophe Chorro, 2015. "A Simple Probabilistic Approach of the Yard-Sale Model," Documents de travail du Centre d'Economie de la Sorbonne 15062, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    • Handle: RePEc:mse:cesdoc:15062
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    References listed on IDEAS

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    1. Nicolas Bouleau & Christophe Chorro, 2015. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Post-Print halshs-01162452, HAL.
    2. Jean-Philippe Bouchaud & Marc Mezard, 2000. "Wealth condensation in a simple model of economy," Science & Finance (CFM) working paper archive 500026, Science & Finance, Capital Fund Management.
    3. Fernholz, Ricardo & Fernholz, Robert, 2014. "Instability and concentration in the distribution of wealth," Journal of Economic Dynamics and Control, Elsevier, vol. 44(C), pages 251-269.
    4. Nicolas Bouleau & Christophe Chorro, 2015. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Documents de travail du Centre d'Economie de la Sorbonne 15024, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    5. Nicolas Bouleau & Christophe Chorro, 2015. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01162452, HAL.
    6. Bouchaud, Jean-Philippe & Mézard, Marc, 2000. "Wealth condensation in a simple model of economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 282(3), pages 536-545.
    7. Fernholz, Ricardo T., 2016. "A Model of economic mobility and the distribution of wealth," Journal of Macroeconomics, Elsevier, vol. 50(C), pages 168-192.
    8. Nicolas Bouleau & Christophe Chorro, 2015. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Documents de travail du Centre d'Economie de la Sorbonne 15024r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2015.
    9. S. Ispolatov & P.L. Krapivsky & S. Redner, 1998. "Wealth distributions in asset exchange models," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 2(2), pages 267-276, March.
    10. Sitabhra Sinha, 2003. "Stochastic Maps, Wealth Distribution in Random Asset Exchange Models and the Marginal Utility of Relative Wealth," Papers cond-mat/0304324, arXiv.org.
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    More about this item

    Keywords

    Wealth distribution; Yard-Sale model; Diffusion approximations; Impact of taxation;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • D31 - Microeconomics - - Distribution - - - Personal Income and Wealth Distribution

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