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Markov equilibria in macroeconomics


Kubler, Felix; Krüger, Dirk (2008). Markov equilibria in macroeconomics. In: Durlauf, Steven N; Blume, Lawrence E. The New Palgrave Dictionary of Economics (Vol. 5). Basingstoke: Palgrave Macmillan, 339-342.

Abstract

We review the recent literature in macroeconomics that analyses Markov equilibria in dynamic general equilibrium model. After defining the Markov equilibrium concept we first summarize what is known about the existence and uniqueness of such equilibria in models where sequential equilibria can be obtained by solving a suitable social planner problem. We then discuss the existence problems of Markov equilibria in models where equivalence of equilibrium allocations and solutions to social planner problems cannot be established and review techniques the literature has developed to deal with the existence problem, as well as recent applications of these techniques in macroeconomics.

We review the recent literature in macroeconomics that analyses Markov equilibria in dynamic general equilibrium model. After defining the Markov equilibrium concept we first summarize what is known about the existence and uniqueness of such equilibria in models where sequential equilibria can be obtained by solving a suitable social planner problem. We then discuss the existence problems of Markov equilibria in models where equivalence of equilibrium allocations and solutions to social planner problems cannot be established and review techniques the literature has developed to deal with the existence problem, as well as recent applications of these techniques in macroeconomics.

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Additional indexing

Item Type:Book Section, not refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Uncontrolled Keywords:backward induction; business cycles; commitment; convexity; dynamic programming; enforcement frictions; Euler equations; existence of a Markov equilibrium; fixed-point theorems; functional equations; generalized Markov equilibria; informational frictions; Lagrange multipliers; Markov chains; Markov equilibria in macroeconomics; Markov processes; neoclassical growth theory; optimal taxation; overlapping generations models; policy functions; principle of optimality; Recursive Markov equilibria; recursive techniques; reputation; sequential equilibria; social planner problem; state spaces; transition functions
Language:English
Date:2008
Deposited On:20 Nov 2008 11:20
Last Modified:14 Sep 2016 13:36
Publisher:Palgrave Macmillan
ISBN:978-0-333-78676-5
Additional Information:This is a post-peer-review, pre-copyedit version of an article published in The New Palgrave Dictionary of Economics. The definitive publisher-authenticated version (Vol. 5, p. 339-342) is available online at dx.doi.org/10.1057/9780230226203.1040.
Publisher DOI:10.1057/9780230226203.1040
Related URLs:http://www.recherche-portal.ch/primo_library/libweb/action/search.do?fn=search&mode=Advanced&vid=ZAD&vl%28186672378UI0%29=isbn&vl%281UI0%29=contains&vl%28freeText0%29=978-0-333-78676-5
Permanent URL: http://doi.org/10.5167/uzh-3720

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