On capital accumulation paths in a neoclassical stochastic growth model
AbstractBoldrin and Montrucchio  showed that any twice continuously differentiable function could be obtained as the optimal policy function for some value of the discount parameter in a deterministic neoclassical growth model. I extend their result to the stochastic growth model with non-degenerate shocks to preferences or technology. This indicates that one can obtain complex dynamics endogenously in a wide variety of economic models, both under certainty and uncertainty. Further, this result motivates the analysis of convergence of adaptive learning mechanisms to rational expectations in economic models with (potentially) complicated dynamics.
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Bibliographic InfoArticle provided by Springer in its journal Economic Theory.
Volume (Year): 11 (1998)
Issue (Month): 2 ()
Note: Received: June 21, 1996; revised version: October 31, 1996
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- D90 - Microeconomics - - Intertemporal Choice - - - General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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- Olson, Lars J. & Roy, Santanu, 2005. "Theory of Stochastic Optimal Economic Growth," Working Papers 28601, University of Maryland, Department of Agricultural and Resource Economics.
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