Recursive equilibrium in stochastic OLG economies∗
نویسندگان
چکیده
We prove generic existence of recursive equilibrium for overlapping generations economies with uncertainty. Generic here means in a residual set of utilities and endowments. The result holds provided there is sufficient intragenerational household heterogeneity.
منابع مشابه
Recursive equilibrium in stochastic OLG economies: Incomplete markets ¬リニ
We prove generic existence of recursive equilibrium for overlapping generations economies with uncertainty and incomplete financial markets. Generic here means in a residual set of utilities and endowments. The result holds provided there is sufficient intragenerational household heterogeneity, and transition probabilities and the asset payoff matrix satisfy mild regularity conditions. The pape...
متن کاملRecursive Equilibrium in Stochastic Overlapping - Generations Economies
THE OVERLAPPING-GENERATIONS (OLG) model, introduced first by Allais (1947) and Samuelson (1958), is one of the two major workhorses for macroeconomic and financial modeling of open-ended dynamic economies. Following developments in the study of two-period economies, the OLG model has been extended to cover stochastic economies with production and possibly incomplete financial markets. As is the...
متن کاملIndeterminacy of Stationary Equilibrium in Stochastic Overlapping Generations Models*
In this paper, we consider the local uniqueness properties of stationary rational expectations equilibria (REE) in a stochastic overlapping generations (OLG) model. It is known that in non-stochastic OLG models, steady-state equilibria are locally isolated, although there may exist indeterminate non-stationary perfect foresight equilibria. We show by construction that in the stochastic model, e...
متن کاملEndogenous market incompleteness without market frictions: Dynamic suboptimality of competitive equilibrium in multiperiod overlapping generations economies
In this paper, we show that within the set of stochastic three-periodlived OLG economies with productive assets (such as land), markets are necessarily sequentially incomplete, and agents in the model do not share risk optimally. We start by characterizing perfect risk sharing and nd that it requires a state-dependent consumption claims which depend only on the exogenous shock realizations. We...
متن کاملDynamic Suboptimality of Competitive Equilibrium in Multiperiod Overlapping Generations Economies
The question we ask is: within the set of a three-period-lived OLG economies with a stochastic endowment process, a stochastic dividend process, and sequentially incomplete complete markets, under what set of conditions may a set of government transfers dynamically Pareto dominate the laissez faire equilibrium? We start by characterizing perfect risk sharing and find that it implies a strongly ...
متن کامل