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Essays on Macroeconomic Dynamics

Lee, Daeyup (2010) Essays on Macroeconomic Dynamics. Doctoral Dissertation, University of Pittsburgh. (Unpublished)

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This thesis deals with macroeconomic dynamics. In chapter 1, I study a one-sector growth model withendogenous discount rate of the sort proposed by citet{1}. I extendthe model into a heterogeneous agents model with respect to initialwealth, and investigate whether the wealthdistribution may converge to a degenerate distribution.I find that if an agent's decision only depends on his orher reference group and if consumption is more important indiscounting than income around the steady state, then convergence to a degenerate distributionis a unique solution. Furthermore, if an agent's decision depends on averagevariables of overall society, I find that there exists a continuumof steady states.In chapter 2, I introduce three mechanisms into otherwise standard citet{aiya94} model to generate a realisticwealth distribution. The three mechanisms include: i) a wealth-dependent shock: labor income shock is wealth-dependent;ii) misspecification: people do not take into account the dependence of the labor income process on wealth when they make consumption decisions;iii) status-seeking from some threshold: there is a direct utility gain from being wealthy.The main findings are as follows:i) Wealth-dependent labor income shock with misspecification helps to explain wealth concentration but cannot fully explain the share of the top 1\% in wealth distribution.ii) In the full model with status-seeking, the share of top 1\% becomes closer to the data.In chapter 3, I build a simple model (two-dimensional discrete dynamical system) to study the interactive dynamics of short-term nominal interest rates of the U.S. and international risk appetite.Main implications from the research are the followings: First, strong interaction between short-term nominal interest rates of the U.S. and international risk appetite can induce bifurcations of the dynamical system: stable fixed point to limit cycle and then to chaos. Second, a numerical experiment suggests two possible explanations for rising variance ratios: the reduction of random shock and the bifurcation of a dynamical system. This finding hints the potential of complexity measures (such as Lyapunov exponent and permutation entropy) as early warning signals.


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Item Type: University of Pittsburgh ETD
Status: Unpublished
CreatorsEmailPitt UsernameORCID
Lee, Daeyupdal35@pitt.eduDAL35
ETD Committee:
TitleMemberEmail AddressPitt UsernameORCID
Committee CoChairFeigenbaum,
Committee CoChairRipoll, Marlaripoll@pitt.eduRIPOLL
Committee MemberDuffy, Johnjduffy@pitt.eduJDUFFY
Committee MemberRubin, Jonathanjduffy@pitt.eduJDUFFY
Date: 30 September 2010
Date Type: Completion
Defense Date: 4 August 2010
Approval Date: 30 September 2010
Submission Date: 12 August 2010
Access Restriction: No restriction; Release the ETD for access worldwide immediately.
Institution: University of Pittsburgh
Schools and Programs: Dietrich School of Arts and Sciences > Economics
Degree: PhD - Doctor of Philosophy
Thesis Type: Doctoral Dissertation
Refereed: Yes
Uncontrolled Keywords: catching up; chaos; consumption; distribution of wealth; financial crisis; nonlinear dynamics; power law
Other ID:, etd-08122010-152630
Date Deposited: 10 Nov 2011 19:59
Last Modified: 15 Nov 2016 13:48


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