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Taxation, risk-taking and growth: a continuous-time stochastic general equilibrium analysis with labor-leisure choice

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  • Kenc, Turalay

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 28 (2004)
Issue (Month): 8 (June)
Pages: 1511-1539

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Handle: RePEc:eee:dyncon:v:28:y:2004:i:8:p:1511-1539

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References

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  1. Robert E. Hall, 1981. "Intertemporal Substitution in Consumption," NBER Working Papers 0720, National Bureau of Economic Research, Inc.
  2. Stephen Turnovsky & Pradip Chattopadhyay, 1998. "Volatility and Growth in Developing Economies: Some Numerical Results and Empirical Evidence," Working Papers 0055, University of Washington, Department of Economics.
  3. Kandel, Shmuel & Stambaugh, Robert F., 1991. "Asset returns and intertemporal preferences," Journal of Monetary Economics, Elsevier, Elsevier, vol. 27(1), pages 39-71, February.
  4. Grinols, E-L & Turnovsky, S-J, 1997. "Consequences of Debt Policy in a Stochastically Growing Monetary Economy," Working Papers 97-09, University of Washington, Department of Economics.
  5. Duffie, Darrel & Lions, Pierre-Louis, 1992. "PDE solutions of stochastic differential utility," Journal of Mathematical Economics, Elsevier, vol. 21(6), pages 577-606.
  6. Duffie, Darrell & Fleming, Wendell & Soner, H. Mete & Zariphopoulou, Thaleia, 1997. "Hedging in incomplete markets with HARA utility," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 21(4-5), pages 753-782, May.
  7. Duffie, Darrell & Epstein, Larry G, 1992. "Stochastic Differential Utility," Econometrica, Econometric Society, Econometric Society, vol. 60(2), pages 353-94, March.
  8. Blackburn, Keith, 1999. "Can Stabilisation Policy Reduce Long-Run Growth?," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 109(452), pages 67-77, January.
  9. Rebelo, Sergio, 1991. "Long-Run Policy Analysis and Long-Run Growth," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 99(3), pages 500-521, June.
  10. Grinols, Earl L. & Turnovsky, Stephen J., 1993. "Risk, the financial market, and macroeconomic equilibrium," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 17(1-2), pages 1-36.
  11. Sandmo, Agnar, 1989. "Differential taxation and the encouragement of risk-taking," Economics Letters, Elsevier, vol. 31(1), pages 55-59.
  12. TallariniJr., Thomas D., 2000. "Risk-sensitive real business cycles," Journal of Monetary Economics, Elsevier, Elsevier, vol. 45(3), pages 507-532, June.
  13. John Y. Campbell & N. Gregory Mankiw, 1989. "Consumption, Income and Interest Rates: Reinterpreting the Time Series Evidence," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 185-246 National Bureau of Economic Research, Inc.
  14. Paul M Romer, 1999. "Increasing Returns and Long-Run Growth," Levine's Working Paper Archive 2232, David K. Levine.
  15. Anne Epaulard & Aude Pommeret, 2003. "Recursive Utility, Endogenous Growth, and the Welfare Cost of Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(3), pages 672-684, July.
  16. Eaton, Jonathan, 1981. "Fiscal Policy, Inflation and the Accumulation of Risky Capital," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 48(3), pages 435-45, July.
  17. Maurice Obstfeld., 1993. "Risk-Taking, Global Diversification, and Growth," Center for International and Development Economics Research (CIDER) Working Papers, University of California at Berkeley C93-016, University of California at Berkeley.
  18. Jim Dolmas, 1998. "Risk Preferences and the Welfare Cost of Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 1(3), pages 646-676, July.
  19. Douglas W. Elmendorf & Miles S. Kimball, 1996. "Taxation of labor income and the demand for risky assets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 96-32, Board of Governors of the Federal Reserve System (U.S.).
  20. Patrick K. Asea & Stephen J. Turnovsky, 1997. "Capital Income Taxation and Risk-Taking in a Small Open Economy," NBER Working Papers 6189, National Bureau of Economic Research, Inc.
  21. Kormendi, Roger C. & Meguire, Philip G., 1985. "Macroeconomic determinants of growth: Cross-country evidence," Journal of Monetary Economics, Elsevier, Elsevier, vol. 16(2), pages 141-163, September.
  22. Epstein, Larry G & Zin, Stanley E, 1991. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 99(2), pages 263-86, April.
  23. Turnovsky, Stephen J. & Grinols, Earl, 1996. "Optimal government finance policy and exchange rate management in a stochastically growing open economy," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(5), pages 687-716, October.
  24. Süleyman Basak, . "On the Fluctuations in Consumption and Market Returns in the Presence of Labor and Human Capital: An Equilibrium Analysis," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 10-98, Wharton School Rodney L. White Center for Financial Research.
  25. Gadi Barlevy, 2003. "The Cost of Business Cycles Under Endogenous Growth," NBER Working Papers 9970, National Bureau of Economic Research, Inc.
  26. Grinols, Earl L. & Turnovsky, Stephen J., 1994. "Exchange rate determination and asset prices in a stochastic small open economy," Journal of International Economics, Elsevier, vol. 36(1-2), pages 75-97, February.
  27. Benavie, Arthur & Grinols, Earl & Turnovsky, Stephen J., 1996. "Adjustment costs and investment in a stochastic endogenous growth model," Journal of Monetary Economics, Elsevier, Elsevier, vol. 38(1), pages 77-100, August.
  28. repec:fth:harver:1435 is not listed on IDEAS
  29. Evans, Lynne & Kenc, Turalay, 2003. "Welfare Cost Of Monetary And Fiscal Policy Shocks," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 7(02), pages 212-238, April.
  30. Smith, William T., 1996. "Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time," Economics Letters, Elsevier, vol. 53(2), pages 123-131, November.
  31. Martin, Philippe & Ann Rogers, Carol, 2000. "Long-term growth and short-term economic instability," European Economic Review, Elsevier, vol. 44(2), pages 359-381, February.
  32. Kihlstrom, Richard E & Mirman, Leonard J, 1981. "Constant, Increasing and Decreasing Risk Aversion with Many Commodities," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 48(2), pages 271-80, April.
  33. Svensson, L.E.O., 1988. "Portfolio Choice With Non-Expected Utility In Continuous Time," Papers, Stockholm - International Economic Studies 423, Stockholm - International Economic Studies.
  34. Turnovsky, Stephen J, 2000. " Government Policy in a Stochastic Growth Model with Elastic Labor Supply," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 2(4), pages 389-433.
  35. Garey Ramey & Valerie A. Ramey, 1994. "Cross-Country Evidence on the Link Between Volatility and Growth," NBER Working Papers 4959, National Bureau of Economic Research, Inc.
  36. Turnovsky, Stephen J, 1993. "Macroeconomic Policies, Growth, and Welfare in a Stochastic Economy," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 34(4), pages 953-81, November.
  37. Duffie, Darrell & Epstein, Larry G, 1992. "Asset Pricing with Stochastic Differential Utility," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 411-36.
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Citations

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Cited by:
  1. Benjamin Lockwood & Marko Köthenbürger, 2007. "Does Tax Competition Really Promote Growth?," CESifo Working Paper Series 2102, CESifo Group Munich.
  2. Wälde, Klaus, 2011. "Production technologies in stochastic continuous time models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 35(4), pages 616-622, April.
  3. Christiane Clemens, 2009. "Stochastic Growth and Factor Income Risk," German Economic Review, Verein für Socialpolitik, Verein für Socialpolitik, vol. 10, pages 422-447, November.
  4. Xin Long & Alessandra Pelloni, 2012. "Welfare Improving Taxation on Savings in a Growth Model," Working Paper Series, The Rimini Centre for Economic Analysis 01_12, The Rimini Centre for Economic Analysis.
  5. Pommeret, Aude & Smith, William T., 2005. "Fertility, volatility, and growth," Economics Letters, Elsevier, vol. 87(3), pages 347-353, June.
  6. Robert Feicht & Wolfgang Stummer, 2010. "Complete Closed-form Solution to a Stochastic Growth Model and Corresponding Speed of Economic Recovery preliminary," DEGIT Conference Papers c015_041, DEGIT, Dynamics, Economic Growth, and International Trade.

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