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An integral equation representation for overlapping generations in continuous time

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  • Edmond, Chris

Abstract

This paper develops a method for solving for the dynamic general equilibrium of a deterministic continuous time overlapping generations model with a finite-horizon life-cycle. The model has isoelastic preferences and allows for general assumptions about individual endowments and demographics. Solving for an equilibrium reduces to solving a nonlinear integral equation. In the special case of log utility, the integral equation is linear and global approximations to a solution are easily computed with linear algebra.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 143 (2008)
Issue (Month): 1 (November)
Pages: 596-609

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Handle: RePEc:eee:jetheo:v:143:y:2008:i:1:p:596-609

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Web page: http://www.elsevier.com/locate/inca/622869

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Keywords: Overlapping generations Continuous time Life-cycle Intertemporal prices;

References

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  1. Blanchard, Olivier J, 1985. "Debt, Deficits, and Finite Horizons," Journal of Political Economy, University of Chicago Press, vol. 93(2), pages 223-47, April.
  2. Rios-Rull, Jose-Victor, 1996. "Life-Cycle Economies and Aggregate Fluctuations," Review of Economic Studies, Wiley Blackwell, vol. 63(3), pages 465-89, July.
  3. Hippolyte d’Albis & Emmanuelle Augeraud-Véron, 2007. "Balanced cycles in an OLG model with a continuum of finitely-lived individuals," Economic Theory, Springer, vol. 30(1), pages 181-186, January.
  4. Burke, Jonathan L., 1996. "Equilibrium for Overlapping Generations in Continuous Time," Journal of Economic Theory, Elsevier, vol. 70(2), pages 364-390, August.
  5. Tauchen, George & Hussey, Robert, 1991. "Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models," Econometrica, Econometric Society, vol. 59(2), pages 371-96, March.
  6. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, December.
  7. Weil, Philippe, 1989. "Overlapping families of infinitely-lived agents," Journal of Public Economics, Elsevier, vol. 38(2), pages 183-198, March.
  8. S. Demichelis & H. Polemarchakis, 2007. "The determinacy of equilibrium in economies of overlapping generations," Economic Theory, Springer, vol. 32(3), pages 461-475, September.
  9. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
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Cited by:
  1. Jochen Mierau & Stephen Turnovsky, 2014. "Capital accumulation and the sources of demographic change," Journal of Population Economics, Springer, vol. 27(3), pages 857-894, July.
  2. d'Albis, Hippolyte & Augeraud-Véron, Emmanuelle, 2009. "Continuous-Time Overlapping Generations Models," TSE Working Papers 09-047, Toulouse School of Economics (TSE).
  3. Brito, Paulo & Dilão, Rui, 2010. "Equilibrium price dynamics in an overlapping-generations exchange economy," Journal of Mathematical Economics, Elsevier, vol. 46(3), pages 343-355, May.
  4. d'Albis, Hippolyte & Augeraud-Véron, Emmanuelle & Hupkes, Herman Jan, 2014. "Stability and Determinacy Conditions for Mixed-type Functional Differential Equations," MPRA Paper 56600, University Library of Munich, Germany.

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