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Random Fixed Points in a Stochastic Solow Growth Model

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Klaus Reiner Schenk-Hoppé
Björn Schmalfuss

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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 - IEW in its series IEW - Working Papers with number iewwp065.

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Handle: RePEc:zur:iewwpx:065

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

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Find related papers by JEL classification:
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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  1. Falk, Armin & Fehr, Ernst & Fischbacher, Urs, 2008. "Testing theories of fairness--Intentions matter," Games and Economic Behavior, Elsevier, vol. 62(1), pages 287-303, January. [Downloadable!] (restricted)
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  2. Josef Falkinger et al., 2000. "A Simple Mechanism for the Efficient Provision of Public Goods: Experimental Evidence," American Economic Review, American Economic Association, vol. 90(1), pages 247-264, March. [Downloadable!] (restricted)
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  3. Armin Falk & Ernst Fehr & Urs Fischbacher, . "On the Nature of Fair Behavior," IEW - Working Papers iewwp017, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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  4. Simon Gächter & Armin Falk, . "Work motivation, institutions, and performance," IEW - Working Papers iewwp062, Institute for Empirical Research in Economics - IEW. [Downloadable!]
  5. Ernst Fehr & Klaus M. Schmidt, . "A Theory of Fairness, Competition and Cooperation," IEW - Working Papers iewwp004, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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  6. Bruno S. Frey & Lorenz Goette, . "Does Pay Motivate Volunteers?," IEW - Working Papers iewwp007, Institute for Empirical Research in Economics - IEW. [Downloadable!]
  7. Bruno S. Frey & Reiner Eichenberger, . "A Proposal for a Flexible Europe," IEW - Working Papers iewwp056, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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  8. Bruno S. Frey & Marcel Kucher & Alois Stutzer, . "Outcome, Process & Power in Direct Democracy," IEW - Working Papers iewwp025, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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  9. Lalive, R. & Ours, J.C. van & Zweimueller, J., 2000. "The impact of active labor market programs and benefit entitlement rules on the duration of unemployment," Discussion Paper 41, Tilburg University, Center for Economic Research. [Downloadable!]
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  10. Ernst Fehr & Jean-Robert Tyran, 2001. "Does Money Illusion Matter?," American Economic Review, American Economic Association, vol. 91(5), pages 1239-1262, December. [Downloadable!] (restricted)
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  11. Leonard J. Mirman & Klaus Reiner Schenk-HoppÈ, 2003. "Financial Markets and Stochastic Growth," Review of International Economics, Blackwell Publishing, vol. 11(2), pages 219-236, 05. [Downloadable!] (restricted)
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  12. Josef Zweimueller & Rudolf Winter-Ebmer, . "Firm-specific Training: Consequences for Job Mobility," IEW - Working Papers iewwp037, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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  13. Bruno S. Frey & Alois Stutzer, . "Maximising Happiness?," IEW - Working Papers iewwp022, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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  14. Albrecht Ritschl & Ulrich Woitek, . "Did Monetary Forces Cause the Great Depression? A Bayesian VAR Analysis for the U.S. Economy," IEW - Working Papers iewwp050, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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  15. Frey, Bruno S. & Stutzer, Alois, 2000. "Happiness, Economy and Institutions," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  16. Iris Bohnet & Bruno S. Frey & Steffen Huck, . "More Order with Less Law: On Contract Enforcement, Trust, and Crowding," IEW - Working Papers iewwp052, Institute for Empirical Research in Economics - IEW. [Downloadable!]
  17. Markus Knell, 1999. "Social Comparisons, Inequality, and Growth," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 155(4), pages 664-, December.
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  18. Falk, Armin & Fehr, Ernst & Fischbacher, Urs, 2001. "Appropriating the Commons - A Theoretical Explanation," CEPR Discussion Papers 2925, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Manuel S. Santos & Adrian Peralta-Alva, 2003. "Accuracy of Simulations for Stochastic Dynamic Models," Levine's Bibliography 666156000000000264, UCLA Department of Economics. [Downloadable!]
    Other versions:
  2. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez & Manuel Santos, 2005. "Convergence Properties of the Likelihood of Computed Dynamic Models," Levine's Bibliography 122247000000000822, UCLA Department of Economics. [Downloadable!]
    Other versions:
  3. Manuel S. Santos, 2003. "Simulation-Based Estimation Of Dynamic Models With Continuous Equilibrium Solutions," Economics Working Papers we034716, Universidad Carlos III, Departamento de Economía. [Downloadable!]
  4. Juan Gabriel Brida & Juan Sebastián Pereyra, 2008. "The Solow model in discrete time and decreasing population growth rate," Economics Bulletin, Economics Bulletin, vol. 3(41), pages 1-14. [Downloadable!]
  5. Klaus Reiner Schenk-Hoppé, . "Sample-Path Stability of Non-Stationary Dynamic Economic Systems," IEW - Working Papers iewwp046, Institute for Empirical Research in Economics - IEW. [Downloadable!]
  6. Klaus Reiner Schenk-Hoppé, . "Random Dynamical Systems in Economics," IEW - Working Papers iewwp067, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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