Recursive Equilibria in Dynamic Economies With Stochastic Production

• 成果类型: Article
• 署名作者: Brumm, Johannes; Kryczka, Dominika; Kubler, Felix
• 署名单位: Helmholtz Association; Karlsruhe Institute of Technology; University of Zurich; Swiss Finance Institute (SFI)
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA13047
• 发表日期: 2017
• 页码: 1467-1499
• 关键词: stationary markov equilibria; ASSET-PRICING-MODELS; incomplete markets; Overlapping-generations; OLG economies; 2 EXAMPLES; games; nonexistence; expectations; GROWTH

摘要

In this paper, we prove the existence of recursive equilibria in a dynamic stochastic model with infinitely lived heterogeneous agents, several commodities, and general inter- and intratemporal production. We illustrate the usefulness of our result by providing sufficient conditions for the existence of recursive equilibria in heterogeneous agent versions of both the Lucas asset pricing model and the neoclassical stochastic growth model.