Determination of Pareto Exponents in Economic Models Driven by Markov Multiplicative Processes

S-Tier
Journal: Econometrica
Year: 2022
Volume: 90
Issue: 4
Pages: 1811-1833

Score contribution per author:

4.022 = (α=2.01 / 2 authors) × 4.0x S-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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. Under a nonlattice condition on growth rates, an eigenvector associated with the Pareto exponent provides the distribution of types in the upper tail of the size distribution.

Technical Details

RePEc Handle
repec:wly:emetrp:v:90:y:2022:i:4:p:1811-1833
Journal Field
General
Author Count
2
Added to Database
2026-01-24