Optimality in stochastic OLG models: Theory for tests

• 成果类型: Article
• 署名作者: Chattopadhyay, Subir
• 署名单位: Universitat d'Alacant; Colegio de Mexico
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2005.03.004
• 发表日期: 2006
• 页码: 282-294
• 关键词: stochastic overlapping generations models; optimality characterization; empirical tests; asset markets

摘要

We considergeneral OLG economies under uncertainty, with short maturity assets and with dividend paying assets of infinite maturity and fiat money, and study the optimality properties of equilibria with a sequence of asset markets that are sequentially complete. We provide necessary and sufficient conditions, in terms of asset prices and dividends, for equilibria to be conditionally Pareto optimal. These results provide a theoretical basis for empirical investigation. (c) 2005 Elsevier Inc. All rights reserved.