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Stationary Markovian Equilibrium in Overlapping Generation Models with Stochastic Nonclassical Production

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Author Info
Olivier F. Morand (University of Connecticut)
Kevin L. Reffett (Arizona State University)

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Abstract

This 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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Paper provided by University of Connecticut, Department of Economics in its series Working papers with number 2005-52.

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Length: 43 pages
Date of creation: Sep 2005
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Handle: RePEc:uct:uconnp:2005-52

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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C62 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - 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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This page was last updated on 2009-12-2.

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