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Recursive Equilibria in Dynamic Economies With Stochastic Production

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  • Johannes Brumm
  • Dominika Kryczka
  • Felix Kubler

Abstract

In this paper, we prove the existence of recursive equilibria in a dynamic stochastic model with infinitely lived heterogeneous agents, several commodities, and general inter‐ and intratemporal production. We illustrate the usefulness of our result by providing sufficient conditions for the existence of recursive equilibria in heterogeneous agent versions of both the Lucas asset pricing model and the neoclassical stochastic growth model.

Suggested Citation

  • Johannes Brumm & Dominika Kryczka & Felix Kubler, 2017. "Recursive Equilibria in Dynamic Economies With Stochastic Production," Econometrica, Econometric Society, vol. 85, pages 1467-1499, September.
    • Handle: RePEc:wly:emetrp:v:85:y:2017:i::p:1467-1499
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    Cited by:

    1. Bar Light, 2019. "General equilibrium in a heterogeneous-agent incomplete-market economy with many consumption goods and a risk-free bond," Papers 1906.06810, arXiv.org, revised Mar 2021.
    2. David Staines, 2023. "Stochastic Equilibrium the Lucas Critique and Keynesian Economics," Papers 2312.16214, arXiv.org, revised Jun 2024.
    3. Kubler, Felix & Scheidegger, Simon, 2023. "Uniformly self-justified equilibria," Journal of Economic Theory, Elsevier, vol. 212(C).
    4. Kaas, Leo, 2023. "Block-recursive equilibria in heterogeneous-agent models," Journal of Economic Theory, Elsevier, vol. 212(C).
    5. Runjie Geng, 2018. "Recursive equilibria in dynamic economies withbounded rationality," 2018 Meeting Papers 137, Society for Economic Dynamics.
    6. Felix Kubler & Simon Scheidegger, 2018. "Self-justi ed equilibria: Existence and computation," 2018 Meeting Papers 694, Society for Economic Dynamics.
    7. Geng, Runjie & Kubler, Felix, 2023. "Stochastic overlapping generations with non-convex budget sets," Journal of Mathematical Economics, Elsevier, vol. 107(C).
    8. Cao, Dan, 2020. "Recursive equilibrium in Krusell and Smith (1998)," Journal of Economic Theory, Elsevier, vol. 186(C).

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