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Random Fixed Points in a Stochastic Solow Growth Model

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  • Klaus Reiner Schenk-Hoppé
  • Björn Schmalfuss

Abstract

This paper presents a complete analysis of a stochastic version of the Solow growth model in which all parameters are ergodic random variables. Applying random dynamical systems theory, we prove that the dynamics and, in particular, the long-run behavior is uniquely determined by a globally attracting stable random fixed point. We also discuss the relation of our approach to that of ergodic Markov equilibria.

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Paper provided by Institute for Empirical Research in Economics - University of Zurich in its series IEW - Working Papers with number 065.

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Handle: RePEc:zur:iewwpx:065

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Keywords: Solow growth model; random dynamical systems; random fixed points; ergodic Markov equilibria;

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Citations

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Cited by:
  1. Jesus Fernandez-Villaverde & Juan F. Rubio-Ramirez & Manuel Santos, 2004. "Convergence Properties of the Likelihood of Computed Dynamic Models," PIER Working Paper Archive 04-034, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  2. Manuel S. Santos & Adrian Peralta-Alva, 2003. "Accuracy Of Simulations For Stochastic Dynamic Models," Economics Working Papers we034615, Universidad Carlos III, Departamento de Economía.
  3. Klaus Reiner Schenk-Hoppé, . "Sample-Path Stability of Non-Stationary Dynamic Economic Systems," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich 046, Institute for Empirical Research in Economics - University of Zurich.
  4. Schenk-Hoppe, Klaus Reiner, 2005. "Poverty traps and business cycles in a stochastic overlapping generations economy with S-shaped law of motion," Journal of Macroeconomics, Elsevier, Elsevier, vol. 27(2), pages 275-288, June.
  5. Palczewski, Jan & Schenk-Hoppé, Klaus Reiner, 2010. "Market selection of constant proportions investment strategies in continuous time," Journal of Mathematical Economics, Elsevier, vol. 46(2), pages 248-266, March.
  6. Electra Petracou & Anastasios Xepapadeas & Athanasios Yannacopoulos, . "The bioeconomics of migration: A selective review towards a modelling perspective," DEOS Working Papers 1306, Athens University of Economics and Business.
  7. Manuel S. Santos, 2003. "Simulation-Based Estimation Of Dynamic Models With Continuous Equilibrium Solutions," Economics Working Papers we034716, Universidad Carlos III, Departamento de Economía.
  8. Santos, Manuel S., 2004. "Simulation-based estimation of dynamic models with continuous equilibrium solutions," Journal of Mathematical Economics, Elsevier, vol. 40(3-4), pages 465-491, June.
  9. repec:ebl:ecbull:v:3:y:2008:i:41:p:1-14 is not listed on IDEAS
  10. Adrian Peralta-Alva & Manuel S. Santos, 2012. "Analysis of numerical errors," Working Papers, Federal Reserve Bank of St. Louis 2012-062, Federal Reserve Bank of St. Louis.
  11. Klaus Reiner Schenk-Hoppé, . "Random Dynamical Systems in Economics," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich 067, Institute for Empirical Research in Economics - University of Zurich.

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