Recursive equilibrium in stochastic OLG economies: Incomplete markets

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• 作者：Aless ; ro Citanna ; Paolo Siconolfi
• 关键词：Overlapping generations ; Incomplete markets ; Recursive equilibrium ; Transversality theorem
• 刊名：Journal of Mathematical Economics
• 出版年：2012
• 出版时间：October, 2012
• 年：2012
• 卷：48
• 期：5
• 页码：322-337
• 全文大小：400 K

文摘

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.