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Stationary Markovian Equilibrium in Overlapping Generation Models with Stochastic Nonclassical Production

  • Olivier F. Morand

    (University of Connecticut)

  • Kevin L. Reffett

    (Arizona State University)

This paper provides new sufficient conditions for the existence, computation via successive approximations, and stability of Markovian equilibrium decision processes for a large class of OLG models with stochastic nonclassical production. Our notion of stability is existence of stationary Markovian equilibrium. With a nonclassical production, our economies encompass a large class of OLG models with public policy, valued fiat money, production externalities, and Markov shocks to production. Our approach combines aspects of both topological and order theoretic fixed point theory, and provides the basis of globally stable numerical iteration procedures for computing extremal Markovian equilibrium objects. In addition to new theoretical results on existence and computation, we provide some monotone comparative statics results on the space of economies.

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File URL: http://web2.uconn.edu/economics/working/2005-52.pdf
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Paper provided by University of Connecticut, Department of Economics in its series Working papers with number 2005-52.

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Length: 43 pages
Date of creation: Sep 2005
Date of revision:
Handle: RePEc:uct:uconnp:2005-52
Note: The authors would like to thank John Coleman, Manjira Datta, Jaime Erikson, Len Mirman, Seppo Heikkila, Manuela Santos, John Stachurski and Yiannis Vailakis for very helpful discussions on topics related to this paper. All mistakes are our own.
Contact details of provider: Postal: University of Connecticut 365 Fairfield Way, Unit 1063 Storrs, CT 06269-1063
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Web page: http://www.econ.uconn.edu/

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