Stationary Markovian Equilibrium in Overlapping Generation Models with Stochastic Nonclassical Production
AbstractThis paper provides new sufficient conditions for the existence, computation via successive approximations, and stability of Markovian equilibrium decision processes for a large class of OLG models with stochastic nonclassical production. Our notion of stability is existence of stationary Markovian equilibrium. With a nonclassical production, our economies encompass a large class of OLG models with public policy, valued fiat money, production externalities, and Markov shocks to production. Our approach combines aspects of both topological and order theoretic fixed point theory, and provides the basis of globally stable numerical iteration procedures for computing extremal Markovian equilibrium objects. In addition to new theoretical results on existence and computation, we provide some monotone comparative statics results on the space of economies.
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Bibliographic InfoPaper provided by University of Connecticut, Department of Economics in its series Working papers with number 2005-52.
Length: 43 pages
Date of creation: Sep 2005
Date of revision:
Note: The authors would like to thank John Coleman, Manjira Datta, Jaime Erikson, Len Mirman, Seppo Heikkila, Manuela Santos, John Stachurski and Yiannis Vailakis for very helpful discussions on topics related to this paper. All mistakes are our own.
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Find related papers by JEL classification:
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- E13 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Neoclassical
- O41 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - One, Two, and Multisector Growth Models
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- Takashi Kamihigashi & John Stachurski, 2012. "Existence, Uniqueness and Stability of Stationary Distributions: An Extension of the Hopenhayn-Prescott Theorem," Discussion Paper Series DP2012-27, Research Institute for Economics & Business Administration, Kobe University.
- Takashi Kamihigashi & John Stachurski, 2011. "Stability of Stationary Distributions in Monotone Economies," ANU Working Papers in Economics and Econometrics 2011-561, Australian National University, College of Business and Economics, School of Economics.
- Kevin Reffett & Olivier Morand, 2008. "Isotone recursive methods for Stationary Markov Equilibra in OLG models with stochastic nonclassical production," 2008 Meeting Papers 470, Society for Economic Dynamics.
- Jaime McGovern & Olivier Morand & Kevin Reffett, 2013. "Computing minimal state space recursive equilibrium in OLG models with stochastic production," Economic Theory, Springer, vol. 54(3), pages 623-674, November.
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