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Monte Carlo simulation of macroeconomic risk with a continuum of agents: the general case

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  • Peter Hammond

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  • Yeneng Sun

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Abstract

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Suggested Citation

  • Peter Hammond & Yeneng Sun, 2008. "Monte Carlo simulation of macroeconomic risk with a continuum of agents: the general case," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 36(2), pages 303-325, August.
  • Handle: RePEc:spr:joecth:v:36:y:2008:i:2:p:303-325 DOI: 10.1007/s00199-007-0279-7
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    References listed on IDEAS

    as
    1. Sun, Yeneng, 1998. "A theory of hyperfinite processes: the complete removal of individual uncertainty via exact LLN1," Journal of Mathematical Economics, Elsevier, vol. 29(4), pages 419-503, May.
    2. Yeneng Sun & Nicholas Yannelis, 2008. "Ex ante efficiency implies incentive compatibility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 36(1), pages 35-55, July.
    3. Fafchamps, Marcel & Lund, Susan, 2003. "Risk-sharing networks in rural Philippines," Journal of Development Economics, Elsevier, pages 261-287.
    4. Timothy F. Bresnahan & Scott Stern & Manuel Trajtenberg, 1996. "Market Segmentation and the Sources of Rents from Innovation: Personal Computers in the Late 1980's," NBER Working Papers 5726, National Bureau of Economic Research, Inc.
    5. Sun, Yeneng, 2006. "The exact law of large numbers via Fubini extension and characterization of insurable risks," Journal of Economic Theory, Elsevier, vol. 126(1), pages 31-69, January.
    6. Peter J. Hammond & Yeneng Sun, 2003. "Monte Carlo simulation of macroeconomic risk with a continuum of agents: the symmetric case," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), pages 743-766.
    7. Sun, Yeneng & Yannelis, Nicholas C., 2007. "Perfect competition in asymmetric information economies: compatibility of efficiency and incentives," Journal of Economic Theory, Elsevier, vol. 134(1), pages 175-194, May.
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    Cited by:

    1. Sun, Yeneng & Wu, Lei & Yannelis, Nicholas C., 2012. "Existence, incentive compatibility and efficiency of the rational expectations equilibrium," Games and Economic Behavior, Elsevier, vol. 76(1), pages 329-339.
    2. repec:eee:jetheo:v:169:y:2017:i:c:p:474-488 is not listed on IDEAS
    3. Hammond, Peter J. & Sun, Yeneng, 2016. "The One-way Fubini Property and Conditional Independence : An Equivalence Result," CRETA Online Discussion Paper Series 22, Centre for Research in Economic Theory and its Applications CRETA.
    4. Yeneng Sun & Lei Wu & Nicholas C. Yannelis, 2011. "Existence, Incentive Compatibility and Efficiency of the Rational Expectations Equilibrium," The School of Economics Discussion Paper Series 1108, Economics, The University of Manchester.

    More about this item

    Keywords

    Large economy; Event-wise measurable conditional probabilities; Exchangeability; Conditional independence; Monte Carlo convergence; Monte Carlo σ-algebra; Stochastic macro structure; C00; D80; E00;

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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