Short-memory equilibrium in stochastic overlapping generations economies

• 成果类型: Article
• 署名作者: Citanna, Alessandro; Siconolfi, Paolo
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Columbia University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2006.04.006
• 发表日期: 2007
• 页码: 448-469
• 关键词: Overlapping generations; Real business cycle; equilibrium

摘要

In stochastic OLG exchange economies, we show that short-memory equilibria-the natural extension from deterministic economies of steady states, low-order cycles, or finite state-space stationary sunspots equilibria-fail to exist generically in utilities. As a result, even with independent and identically distributed exogenous shocks there is serial correlation in endogenous economic variables in equilibrium. This arises even if utilities are time-separable, some goods inferior, and there are no technological lags. Hence, the origins of economic fluctuations can be traced only to the demographic structure of a heterogeneous agent, multiple-good economy. (c) 2006 Elsevier Inc. All rights reserved.