Scott F Richard

• DBA
• Professor at University of Pennsylvania

This paper is a positive theory of the distribution of income and the growth rate of the economy. It builds on our earlier work, Meltzer and Richard (1981), on the size of government. How does the distribution of income change as an economy grows? To answer this question we build a model of a labor economy in which consumers have diverse productivi...

This model uses three implicit states (Core CPI, the unemployment rate, and the quarterly growth rate of non-farm payrolls) which follow a multivariate continuous-time Ornstein-Uhlenbeck (OU) process. The instantaneous risk-free rate (Fed Funds) is set using a policy rule (following Black (1995)) which is affine in the implicit states with a lower...

Portfolio managers will seek to control the interest rate risk and credit risk of a portfolio using the most effective means possible. By effective, we mean that changes in the risk exposure of a portfolio can be done quickly and at minimal transaction costs (where transaction costs include market impact costs). Typically, altering the risk exposur...

this paper i to investigate testabl`e implications of equilihrium asset pricing modeIs. We derive a general representation for asset prices that displays the role of conditioning information. This representation is then used to examine restrictions implied by asset pricing modeIs on the unconditional moments of asset payoffs and prices. In particul...

Motivated by recent work of Huang and Kreps it is shown that the existence of a general equilibrium in an exchange economy whose commodity space is a vector lattice is guaranteed if (in addition to standard hypotheses) the price space is also a lattice. This is very weak in contrast with the usual requirement that the topology of the commodity spac...

We prove the existence of a competitive quasi-equilibrium in a production economy in which the commodity space is a vector lattice endowed with a topology, but is not necessarily a topological vector lattice. The key assumption necessary to prove the existence theorem is that both preferences and production sets are proper as defined by Mas-Colell...

This paper examines the existence of equilibrium in an economy with a countable infinity of consumers in which the commodity space is ∞. We prove the existence of a quasi-equilibrium when preferences are Mackey continuous. We also explore the relationship between equilibria and optima in the model.

The purpose of this paper is to investigate testable implications of equilibrium asset pricing models. We derive a general representation for asset prices that displays the role of conditioning information. This representation is then used to examine restrictions implied by asset pricing models on the unconditional moments of asset payoffs and pric...

The purpose of this paper is to investigate testable implications of equilibrium asset pricing models. The authors derive a general representation for asset prices that displays the role of conditioning information. This representation is then used to examine restrictions implied by asset pricing models on the unconditional moments of asset payoffs...

It is shown that preferences which are continuous, convex and uniformly proper [Mas-Colell (1983)] on the positive cone of a Banach lattice can be represented by a quasi-concave utility function which is defined on a larger domain with non-empty interior. This utility function may be chosen to be either upper or lower semi-continuous on its domain,...

Normative arguments for restricting redistribution to cash transfers or a negative income tax have not appealed to politicians or their constituents. All modern governments redistribute income in kind and provide goods and services that can be produced and distributed privately. At times public and private supply coexist. Housing services, medical...

In many countries, the political party holding power changes more frequently than the trend growth rates in government spending and taxes. Shifts of political power are often preceded by rhetoric about ‘meeting needs’ or cutting taxes, which post-election performances rarely match. Yet, changes in the size of government, up and down, occur. On aver...

This paper is a theoretical investigation of equilibrium forward and futures prices. We construct a rational expectations model in continuous time of a multigood, identical consumer economy with constant stochastic returns to scale production. Using this model we find three main results. First, we find formulas for equilibrium forward, futures, dis...

In a general equilibrium model of a labor economy, the size of government, measured by the share of income redistributed, is determined by majority rule. Voters rationally anticipate the disincentive effects of taxation on the labor-leisure choices of their fellow citizens and take the effect into account when voting. The share of earned income red...

Formulation of a continuous-time, infinite-horizon, discounted-cost cash management model with both fixed and proportional transactions costs and with linear holding and penalty cost. The culmulative demand for cash by a Wiener process with drift and use the optimal control technique of ″impulse control″ to find sufficient conditions under which an...

A formula for the price of default-free discount bonds of all maturities is found using a Black- Scholes type of arbitrage model which is based on the assumption that a portfolio of three default-free discount bonds of distinct maturities can be managed to be a perfect substitute for any other default-free discount bond. The formula relates the pri...

This paper concerns the optimal control of a system where the state is modeled by a homogeneous diffusion process in R1. Each time the system is controlled a fixed cost is incurred as well as a cost which is proportional to the magnitude of the control applied. In addition to the cost of control, there are holding or carrying costs incurred which a...

This paper concerns utility functions for more than one attribute. A new type of risk aversion found only in muitivariate utility functions is defined. Certain behavioral assumptions, which are necessary and sufficient for one of three forms of separable utility functions including the well-known additive form, are given. It is shown that only one...

A continuous time model for optimal consumption, portfolio and life insurance rules, for an investor with an arbitrary but known distribution of lifetime, is derived as a generalization of the model by Merton (1971). The classic Tobin-Markowitz separation theorem obtains with the mutual funds being identical to those obtained under the assumption o...