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Recursive equilibria in dynamic economies with stochastic production


Brumm, Johannes; Kryczka, Dominika; Kübler, Felix (2017). Recursive equilibria in dynamic economies with stochastic production. Econometrica, 85(5):1467-1499.

Abstract

In this paper we prove the existence of recursive equilibria in stochastic production economies with infinitely lived agents and incomplete financial markets. We consider a general dynamic model with several commodities, which encompasses heterogeneous agent versions of both the Lucas asset pricing model and the stochastic neo-classical growth model as special cases. Our main assumption is that there are atomless shocks to fundamentals that have a purely transitory component and a component that does not depend on last period's shocks directly.

Abstract

In this paper we prove the existence of recursive equilibria in stochastic production economies with infinitely lived agents and incomplete financial markets. We consider a general dynamic model with several commodities, which encompasses heterogeneous agent versions of both the Lucas asset pricing model and the stochastic neo-classical growth model as special cases. Our main assumption is that there are atomless shocks to fundamentals that have a purely transitory component and a component that does not depend on last period's shocks directly.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:2017
Deposited On:22 Sep 2017 07:29
Last Modified:16 Oct 2017 01:02
Publisher:Wiley-Blackwell Publishing, Inc.
ISSN:0012-9682
Publisher DOI:https://doi.org/10.3982/ECTA13047
Related URLs:http://www.zora.uzh.ch/id/eprint/123018/
Other Identification Number:merlin-id:14754

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