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Gomes, Francisco J. 1971-

Overview
Works: 38 works in 111 publications in 1 language and 297 library holdings
Roles: Author
Classifications: HB1, 332
Publication Timeline
Key
Publications about Francisco J Gomes
Publications by Francisco J Gomes
Most widely held works by Francisco J Gomes
Optimal life-cycle asset allocation : understanding the empirical evidence by Francisco J Gomes( Book )
9 editions published between 2003 and 2005 in English and held by 27 libraries worldwide
The excess burden of government indecision by Francisco J Gomes( Book )
10 editions published in 2007 in English and held by 27 libraries worldwide
Governments are known for procrastinating when it comes to resolving painful policy problems. Whatever the political motives for waiting to decide, procrastination distorts economic decisions relative to what would arise with early policy resolution. In so doing, they engender excess burden. This paper posits, calibrates, and simulates a life cycle model with earnings, lifespan, investment return, and future policy uncertainty. It then measures the excess burden from delayed resolution of policy uncertainty. The first uncertain policy we consider concerns the level of future Social Security benefits. Specifically, we examine how an agent would respond to learning in advance whether she will experience a major Social Security benefit cut starting at age 65. We show that having to wait to learn materially affects consumption, saving, and portfolio decisions. It also reduces welfare. Indeed, we show that the excess burden of government indecision can, in this instance, range as large as 0.6 percent of the agent's economic resources. This is a significant distortion in of itself. It's also significant when compared to other distortions measured in the literature. The second uncertain policy we consider concerns marginal tax rates. We obtain similar results once we adjust for the impact of tax rates on income
Asset pricing with limited risk sharing and heterogeneous agents by Francisco J Gomes( Book )
10 editions published between 2004 and 2007 in English and held by 18 libraries worldwide
Optimal life-cycle investing with flexible labor supply : a welfare analysis of life-cycle funds by Francisco J Gomes( Book )
10 editions published in 2008 in English and held by 16 libraries worldwide
We investigate optimal consumption, asset accumulation and portfolio decisions in a realistically calibrated life-cycle model with flexible labor supply. Our framework allows for wage rate uncertainly, variable labor supply, social security benefits and portfolio choice over safe bonds and risky equities. Our analysis reinforces prior findings that equities are the preferred asset for young households, with the optimal share of equities generally declining prior to retirement. However, variable labor materially alters pre-retirement portfolio choice by significantly raising optimal equity holdings. Using this model, we also investigate the welfare costs of constraining portfolio allocations over the life cycle to mimic popular default investment choices in defined-contribution pension plans, such as stable value funds, balanced funds, and life-cycle (or target date) funds. We find that life-cycle funds designed to match the risk tolerance and investment horizon of investors have small welfare costs. All other choices, including life-cycle funds which do not match investors' risk tolerance, can have substantial welfare costs
Wealth accumulation and portfolio choice with taxable and tax-deferred accounts by Francisco J Gomes( Book )
8 editions published between 2004 and 2005 in English and held by 14 libraries worldwide
Quantifying the distortionary fiscal cost of 'the bailout' by Francisco J Gomes( Book )
3 editions published in 2010 in English and held by 13 libraries worldwide
We utilize an overlapping generations model with endogenous production and incomplete markets to quantify the distortionary costs associated with financing the increase in government expenditures directed to investments in the private sector in 2008 and 2009 (a.k.a. 'the bailout'), and its differential impact on different groups of the population (in the U.S.A.). In our baseline calibration, this distortion corresponds to a loss of approximately $300 billion dollars in total household consumption. For plausible alternative assumptions regarding both the expected and actual duration of this increase in expenditures, or the willingness of foreign institutions and/or investors in absorbing additional government debt, this number can increase to $800 billion. We find that the cost falls more dramatically on those households which are either older and/or wealthier. Retirees face approximately 50% of the cost, as younger agents are more likely to still be alive when the economy has returned to its steady-state. Across wealth groups, the top 25% of the wealth distribution bears almost two thirds of the cost
A human capital explanation for an asset allocation puzzle by Alexander G Michaelides( Book )
7 editions published between 2003 and 2004 in English and held by 11 libraries worldwide
Portfolio choice with internal habit formation : a life-cycle model with uninsurable labour income risk by Francisco J Gomes( Book )
6 editions published in 2003 in English and held by 9 libraries worldwide
Aggregate implications of defined benefit and defined contribution systems by Francisco J Gomes( Book )
3 editions published in 2003 in English and held by 8 libraries worldwide
Portfolio choice and wealth accumulation with taxable and tax-deferred accounts by Francisco J Gomes( Book )
3 editions published in 2004 in English and held by 6 libraries worldwide
Investing retirement wealth : a life-cycle model by John Y Campbell( Book )
6 editions published between 1999 and 2000 in English and held by 6 libraries worldwide
If household portfolios are constrained by borrowing and short-sales restrictions asset markets, then alternative retirement savings systems may affect household welfare by relaxing these constraints. This paper uses a calibrated partial-equilibrium model of optimal life-cycle portfolio choice to explore the empirical relevance of these issues. In a benchmark case, we find ex-ante welfare gains equivalent to a 3.7% increase in consumption from the investment of half of retirement wealth in the equity market. The main channel through which these gains are realized is that the higher average return on equities permits a lower Social Security tax rate on younger households, which helps households smooth their consumption over the life cycle. There is a smaller welfare gain of 0.5% of consumption when Social Security tax rates are held constant. We also find that realistic heterogeneity of risk aversion and labor income risk can strongly affect optimal portfolio choice over the life cycle, which provides one argument for a privatized Social Security system with an element of personal portfolio choice
Portfolio choice with internal habit formation : a life-cycle model with uninsurable labour income risk by Francisco J Gomes( Article )
1 edition published in 2003 in English and held by 6 libraries worldwide
A two-period model of consumption and portfolio choice with incomplete markets by João F Cocco( Book )
3 editions published in 1997 in English and held by 3 libraries worldwide
Consumption and portfolio choice over the life-cycle by João F Cocco( Book )
3 editions published in 1998 in English and held by 3 libraries worldwide
Risk and returns to education over time by Jeffrey R Brown( Book )
4 editions published in 2015 in English and held by 3 libraries worldwide
We model education as an investment in human capital that, like other investments, is appropriately evaluated in a framework that accounts for risk as well as return. In contrast to dominant wage-premia approach to calculating the returns to education, but which implicitly ignores risk, we evaluate the returns by treating the value of human capital as the price of a non-tradable risky asset. We do so using a lifecycle framework that incorporates risk preferences and earnings risk, as well as a progressive income tax and social insurance system. Our baseline estimate is that a college degree provides a $440K dollar increase in annual certainty-equivalent consumption. Although significantly smaller than traditional estimates of the value of education, these returns are still large enough to offset both the direct and indirect cost of college education for a large range of plausible preference parameters. Importantly, however, we find that accounting for risk reverses the finding from the education wage-premia literature regarding the trends in the returns to education. In particular, we find that the risk-adjusted gains from college completion actually decreased rather than increased in the recent period. Overall, our results show the importance of earnings risks in assessing the value of education
Risk and Returns to Education by Jeffrey R Brown( Book )
2 editions published in 2012 in English and held by 2 libraries worldwide
We analyze the returns to education in a life-cycle framework that incorporates risk preferences, earnings volatility (including unemployment), and a progressive income tax and social insurance system. We show that such a framework significantly reduces the measured gains from education relative to simple present-value calculations, although the gains remain significant. For example, for a range of preference parameters, we find that individuals should be willing to pay 300 to 500 (200 to 250) thousand dollars to obtain a college (high school) degree in order to benefit from the 32 to 42 percent (20 to 38 percent) increase in annual certainty-equivalent consumption. We also explore how the measured value of education varies with preference parameters, by gender, and across time. In contrast to findings in the education wage-premia literature, which focuses on present values and which we replicate in our data, our model indicates that the gains from college education were flat in the 1980s and actually decreased significantly in 1991-2007 period. On the other hand, the gains to a high school education have increased quite dramatically over time. We also show that both high school and college education help to decrease the gender gap in life-time earnings, contrary again to the conclusion from wage premia calculations
Optimal life-cycle asset allocation : understanding the empirical evidence by Francisco J Gomes( Book )
1 edition published in 2003 in English and held by 1 library worldwide
Life-cycle portfolio choice with liquid and illiquid assets by Claudio Campanale( Book )
2 editions published in 2015 in English and held by 1 library worldwide
Traditionally, quantitative models that have studied households' portfolio choices have focused exclusively on the different risk properties of alternative financial assets. We introduce differences in liquidity across assets in the standard life-cycle model of portfolio choice. More precisely, in our model, stocks are subject to transaction costs, as considered in recent macro literature. We show that, when these costs are calibrated to match the observed infrequency of households' trading, the model is able to generate patterns of portfolio stock allocation over age and wealth that are constant or moderately increasing, thus more in line with the existing empirical evidence
Exploiting short-run predictability ( Computer File )
1 edition published in 2003 in English and held by 1 library worldwide
Investing retirement wealth : a life-cycle model ( Computer File )
1 edition published in 1998 in English and held by 1 library worldwide
 
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Alternative Names
Gomes, Francisco 1971-
Languages
English (93)
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