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Uniqueness of Markov equilibrium in stochastic OLG models with nonclassical production

  • Hillebrand, Marten

This paper studies Markov Equilibria (ME) corresponding to recursive equilibria on natural state space in the stochastic OLG model extended to include non-additive utility, nonclassical production, and Markovian production shocks. Specifically, we provide sufficient conditions under which the ME in unique. It turns out that uniqueness for a large class of economies and that restrictions either on the consumption side or the production side alone are sufficient to garantuee this result. We also discuss additional properties such as continuity or smoothness of the equilibrium mappings and whether additional recursive or non-recursive euilibria exist.

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Paper provided by Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering in its series Working Paper Series in Economics with number 46.

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Date of creation: 2012
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Handle: RePEc:zbw:kitwps:46
Contact details of provider: Web page: http://www.wiwi.kit.edu/

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  1. Wang Yong, 1993. "Stationary Equilibria in an Overlapping Generations Economy with Stochastic Production," Journal of Economic Theory, Elsevier, vol. 61(2), pages 423-435, December.
  2. Coleman, Wilbur John, II, 1991. "Equilibrium in a Production Economy with an Income Tax," Econometrica, Econometric Society, vol. 59(4), pages 1091-1104, July.
  3. Jeremy Greenwood & Gregory W. Huffman, 1993. "On the existence of nonoptimal equilibria in dynamic stochastic economies," Research Paper 9330, Federal Reserve Bank of Dallas.
  4. Wang, Yong, 1994. "Stationary Markov Equilibria in an OLG Model with Correlated Production Shocks," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 731-44, August.
  5. Felix Kubler & Herakles Polemarchakis, 2004. "Stationary Markov equilibria for overlapping generations," Economic Theory, Springer, vol. 24(3), pages 623-643, October.
  6. Morand, Olivier F. & Reffett, Kevin L., 2007. "Stationary Markovian equilibrium in overlapping generation models with stochastic nonclassical production and Markov shocks," Journal of Mathematical Economics, Elsevier, vol. 43(3-4), pages 501-522, April.
  7. Jaime McGovern & Olivier Morand & Kevin Reffett, 2013. "Computing minimal state space recursive equilibrium in OLG models with stochastic production," Economic Theory, Springer, vol. 54(3), pages 623-674, November.
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