52 citations · 119 across the 24 of their papers we have counts for
6 papers · 1 filter
Risk Sensitivity and Stationary Equilibrium in Incomplete Markets
Qingyin Ma, John Stachurski, Bin Wu
We study stationary equilibrium and comparative statics in an incomplete market economy with risk-sensitive preferences. We prove that a stationary equilibrium exists for every non…
Rare States and Long-Run Pricing
Ye Lu, John Stachurski
Macroeconomic crises are rare, yet they can have large effects on asset prices. Because the probability of entering a crisis from normal times is small relative to the probability…
Interest Rate Dynamics and Commodity Prices
Christophe Gouel, Qingyin Ma, John Stachurski
In economic studies and popular media, interest rates are routinely cited as a major factor behind commodity price fluctuations. At the same time, the transmission channels are far…
Dynamic Optimal Choice When Rewards are Unbounded Below
Qingyin Ma, John Stachurski
We propose a new approach to solving dynamic decision problems with rewards that are unbounded below. The approach involves transforming the Bellman equation in order to convert an…
The Income Fluctuation Problem and the Evolution of Wealth
Qingyin Ma, John Stachurski, Alexis Akira Toda
We analyze the household savings problem in a general setting where returns on assets, non-financial income and impatience are all state dependent and fluctuate over time. All thre…
The Income Fluctuation Problem with Capital Income Risk: Optimality and Stability
Qingyin Ma, John Stachurski, Alexis Akira Toda
This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be s…