Block-recursive equilibria in heterogeneous-agent models

• 成果类型: Article
• 署名作者: Kaas, Leo
• 署名单位: Goethe University Frankfurt
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2023.105689
• 发表日期: 2023
• 关键词: Block-recursive equilibrium; Dynamic general equilibrium; heterogeneous agents

摘要

Equilibrium models with heterogeneous agents and aggregate uncertainty are difficult to analyze since policy functions and market prices usually depend on the cross-sectional distribution over agents' state variables which is a high-dimensional object. This paper considers a general model framework in which this curse of dimensionality does not arise because equilibrium prices are determined by market entry conditions and are independent of the cross-sectional distribution (block-recursive equilibrium). The paper first establishes existence and ergodic theorems which are useful for the theoretical analysis and numerical implementation of block-recursive equilibria. Then these results are applied to models of firm dynamics with competitive or frictional input markets and to incomplete-market economies with endogenous asset market participation.& COPY; 2023 Elsevier Inc. All rights reserved.