Recursive equilibrium in stochastic OLG economies: Incomplete markets
AbstractWe prove generic existence of recursive equilibrium for overlapping generations economies with uncertainty and incomplete financial markets. Generic here means in a residual set of utilities and endowments. The result holds provided there is sufficient intragenerational household heterogeneity, and transition probabilities and the asset payoff matrix satisfy mild regularity conditions. The paper also provides a new methodological technique to establish comparative statics, or perturbation, properties in such environments.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Mathematical Economics.
Volume (Year): 48 (2012)
Issue (Month): 5 ()
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Web page: http://www.elsevier.com/locate/jmateco
Overlapping generations; Incomplete markets; Recursive equilibrium; Transversality theorem;
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