00000nam 2200000zi 4500 9.883011 CaOODSP 20221107170442 m o d f cr |n||||||||| 191218t20192019onc ob f000 0 eng d CaOODSP eng rda CaOODSP eng fre n-cn--- FB3-5/2019-48E-PDF Djeutem, Edouard. Model uncertainty and wealth distribution / by Edouard Djeutem and Shaofeng Xu. [Ottawa] : Bank of Canada, 2019. ©2019 1 online resource (iii, 33 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier Bank of Canada staff working paper, 1701-9397 ; 2019-48 "December 2019." Includes bibliographical references (pages 18-19). "This paper studies the implications of model uncertainty for wealth distribution in a tractable general equilibrium model with a borrowing constraint and robustness à la Hansen and Sargent (2008). Households confront model uncertainty about the process driving the return of the risky asset, and they choose robust policies. We find that in the presence of a borrowing constraint, model distortion varies non-monotonically with wealth. Robustness generates two forces that amplify wealth inequality. On the one hand, it increases the speed at which the wealth of unlucky households hits the borrowing constraint. On the other hand, it leads richer households to invest a disproportionately larger share of wealth in the higher yielding asset. Our study also shows that model uncertainty results in an aggregate welfare loss unevenly distributed across households"--Abstract. Includes abstract in French. Distribution (Economic theory) Uncertainty Mathematical models. Distribution (Économie politique) Incertitude Modèles mathématiques. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2019-48. (CaOODSP)9.806221 PDF 1.48 MB https://publications.gc.ca/collections/collection_2019/banque-bank-canada/FB3-5-2019-48-eng.pdf