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Recursive equilibrium in stochastic OLG economies: Incomplete markets

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  • Citanna, Alessandro
  • Siconolfi, Paolo

Abstract

We prove generic existence of recursive equilibrium for overlapping generations economies with uncertainty and incomplete financial markets. Generic here means in a residual set of utilities and endowments. The result holds provided there is sufficient intragenerational household heterogeneity, and transition probabilities and the asset payoff matrix satisfy mild regularity conditions. The paper also provides a new methodological technique to establish comparative statics, or perturbation, properties in such environments.

Suggested Citation

  • Citanna, Alessandro & Siconolfi, Paolo, 2012. "Recursive equilibrium in stochastic OLG economies: Incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 48(5), pages 322-337.
    • Handle: RePEc:eee:mateco:v:48:y:2012:i:5:p:322-337
    DOI: 10.1016/j.jmateco.2012.08.003
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    References listed on IDEAS

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    Cited by:

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    2. Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2025. "To Bubble or Not to Bubble: Asset Price Dynamics and Optimality in OLG Economies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-05199274, HAL.
    3. Pham, Ngoc Sang & Le Van, Cuong & Bosi, Stefano, 2025. "To Bubble or Not to Bubble: Asset Price Dynamics and Optimality in OLG Economies," MPRA Paper 125772, University Library of Munich, Germany.
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    7. Kim, Eungsik & Spear, Stephen, 2025. "The rich are not like you and me: Income, price dispersion, and consumption," Journal of Economic Theory, Elsevier, vol. 228(C).

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