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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:

    1. Bosi, Stefano & Ha-Huy, Thai & Le Van, Cuong & Pham, Cao-Tung & Pham, Ngoc-Sang, 2018. "Financial bubbles and capital accumulation in altruistic economies," Journal of Mathematical Economics, Elsevier, vol. 75(C), pages 125-139.
    2. Felix Kubler & Simon Scheidegger, 2018. "Self-justi ed equilibria: Existence and computation," 2018 Meeting Papers 694, Society for Economic Dynamics.
    3. Kaas, Leo, 2023. "Block-recursive equilibria in heterogeneous-agent models," Journal of Economic Theory, Elsevier, vol. 212(C).
    4. Runjie Geng, 2018. "Recursive equilibria in dynamic economies withbounded rationality," 2018 Meeting Papers 137, Society for Economic Dynamics.

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