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- Stochastic Olg Models, Market Structure And Optimality

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Author Info

  • Piero Gottardi

    (Yale University)

  • Subir Chattopadhyay

    (Universidad de Alicante)

Abstract

For a general class of pure exchange OLG economies under uncertainty, we provide a complete characterization of the efficency properties of competitive equilibria when markets are only sequentially complete and the criterion of efficency is conditional Pareto optimality. We also consider a particular case in which markets fail to be even sequentially complete and provide a characterization when the criterion of efficency is weakened to ex post Pareto optimality.

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File URL: http://www.ivie.es/downloads/docs/wpasad/wpasad-1999-15.pdf
File Function: Fisrt version / Primera version, 1999
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Bibliographic Info

Paper provided by Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) in its series Working Papers. Serie AD with number 1999-15.

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Length: 40 pages
Date of creation: Sep 1999
Date of revision:
Publication status: Published by Ivie
Handle: RePEc:ivi:wpasad:1999-15

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Related research

Keywords: Stochastic Overlapping Generations Models; Pareto Optimality;

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References

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  1. Okuno, Masahiro & Zilcha, Itzhak, 1980. "On the Efficiency of a Competitive Equilibrium in Infinite Horizon Monetary Economies," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 47(4), pages 797-807, July.
  2. Muench, Thomas J., 1977. "Optimality, the interaction of spot and futures markets, and the nonneutrality of money in the lucas model," Journal of Economic Theory, Elsevier, vol. 15(2), pages 325-344, August.
  3. Cass, David & Green, Richard C & Spear, Stephen E, 1992. "Stationary Equilibria with Incomplete Markets and Overlapping Generations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(3), pages 495-512, August.
  4. Dutta, Jayasri & Polemarchakis, Herakles, 1990. "Asset Markets and Equilibrium Processes," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 57(2), pages 229-54, April.
  5. Zilcha, Itzhak, 1991. "Characterizing efficiency in stochastic overlapping generations models," Journal of Economic Theory, Elsevier, vol. 55(1), pages 1-16, October.
  6. Geanakoplos, John D. & Polemarchakis, Heraklis M., 1991. "Overlapping generations," Handbook of Mathematical Economics, Elsevier, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 35, pages 1899-1960 Elsevier.
  7. Radner, Roy, 1972. "Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets," Econometrica, Econometric Society, Econometric Society, vol. 40(2), pages 289-303, March.
  8. Benveniste, Lawrence M., 1976. "A complete characterization of efficiency for a general capital accumulation model," Journal of Economic Theory, Elsevier, vol. 12(2), pages 325-337, April.
  9. Gottardi, Piero, 1996. "Stationary Monetary Equilibria in Overlapping Generations Models with Incomplete Markets," Journal of Economic Theory, Elsevier, vol. 71(1), pages 75-89, October.
  10. Lucas, Robert Jr., 1972. "Expectations and the neutrality of money," Journal of Economic Theory, Elsevier, vol. 4(2), pages 103-124, April.
  11. Burke, Jonathan L., 1987. "Inactive transfer policies and efficiency in general overlapping-generations economies," Journal of Mathematical Economics, Elsevier, vol. 16(3), pages 201-222, June.
  12. Manuelli, Rodolfo, 1990. "Existence and optimality of currency equilibrium in stochastic overlapping generations models: The pure endowment case," Journal of Economic Theory, Elsevier, vol. 51(2), pages 268-294, August.
  13. Spear, Stephen E., 1985. "Rational expectations in the overlapping generations model," Journal of Economic Theory, Elsevier, vol. 35(2), pages 251-275, August.
  14. Cass, David, 1972. "On capital overaccumulation in the aggregative, neoclassical model of economic growth: A complete characterization," Journal of Economic Theory, Elsevier, vol. 4(2), pages 200-223, April.
  15. Balasko, Yves & Shell, Karl, 1980. "The overlapping-generations model, I: The case of pure exchange without money," Journal of Economic Theory, Elsevier, vol. 23(3), pages 281-306, December.
  16. Geanakoplos, J. & Polemarchakis, H., 1991. "Overlapping generations," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 1991031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  17. Rao Aiyagari, S. & Peled, Dan, 1991. "Dominant root characterization of Pareto optimality and the existence of optimal equilibria in stochastic overlapping generations models," Journal of Economic Theory, Elsevier, vol. 54(1), pages 69-83, June.
  18. Peled, Dan, 1982. "Informational diversity over time and the optimality of monetary equilibria," Journal of Economic Theory, Elsevier, vol. 28(2), pages 255-274, December.
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