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The Ergodic Distribution of Wealth with Random Shocks

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Abstract

A convergence model in which welath accumulation is sibject to i.i.d. random shocks is examined. The accumulation function shows what kt+1 - wealth at t+1 - would be given kt and with no shock. it has a positive slope, but its concavity or convexity is indeterminate. The focus is the ergodic distribution of welath. This distribution satisfies a Fredholm integral equation. The ergodic distribution can be characterized in some respects by direct analysis of the stochastic process governing wealth accumulation and by use of the Fredholm equation without solution.

Suggested Citation

  • Bliss, C., 1998. "The Ergodic Distribution of Wealth with Random Shocks," Economics Papers 145, Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:145
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    Cited by:

    1. Muro, Kazunobu, 2007. "Individual preferences and the effect of uncertainty on irreversible investment," Research in Economics, Elsevier, vol. 61(4), pages 191-207, December.

    More about this item

    Keywords

    WEALTH ; CONVERGENCE;

    JEL classification:

    • D3 - Microeconomics - - Distribution
    • E1 - Macroeconomics and Monetary Economics - - General Aggregative Models

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