Indeterminacy in stochastic overlapping generations models: real effects in the long run

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• 作者：Zhigang Feng ; Matthew Hoelle
• 关键词：OLG ; Indeterminacy ; Markov Equilibrium ; Computation ; Simulation
• 刊名：Economic Theory
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：63
• 期：2
• 页码：559-585
• 全文大小：
• 刊物类别：Business and Economics
• 刊物主题：Economic Theory/Quantitative Economics/Mathematical Methods; Game Theory, Economics, Social and Behav. Sciences; Microeconomics; Public Finance;
• 出版者：Springer Berlin Heidelberg
• ISSN：1432-0479
• 卷排序：63

文摘

Indeterminate equilibria are known to exist for overlapping generations models, though recent research has been limited to deterministic settings in which all equilibria converge to a steady state in the long run. This paper analyzes stochastic overlapping generations models with three-period-lived representative consumers and adopts a novel computational algorithm to numerically approximate the entire set of competitive equilibria. In a stochastic setting with incomplete markets, indeterminacy has real effects in the long run. Our numerical simulations reveal that indeterminacy is an order of magnitude more important than endowment shocks in explaining long-run consumption and asset price volatility.