Recursive equilibrium in stochastic OLG economies: Incomplete markets

Alessandro Citanna, Paolo Siconolfi

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish (US)
Pages (from-to)322-337
Number of pages16
JournalJournal of Mathematical Economics
Volume48
Issue number5
DOIs
StatePublished - Oct 1 2012

Fingerprint

Incomplete Markets
Residual Set
Overlapping Generations
Comparative Statics
Financial Markets
Regularity Conditions
Transition Probability
Sufficient
Perturbation
Uncertainty
Incomplete markets
Recursive equilibrium
Financial markets
Overlapping generations
Comparative statics
Endowments
Regularity
Assets
Incomplete financial markets
Household

Keywords

  • Incomplete markets
  • Overlapping generations
  • Recursive equilibrium
  • Transversality theorem

ASJC Scopus subject areas

  • Economics and Econometrics
  • Applied Mathematics

Cite this

Recursive equilibrium in stochastic OLG economies : Incomplete markets. / Citanna, Alessandro; Siconolfi, Paolo.

In: Journal of Mathematical Economics, Vol. 48, No. 5, 01.10.2012, p. 322-337.

Research output: Contribution to journalArticle

@article{da5dddd660564714b10773406a965b5e,
title = "Recursive equilibrium in stochastic OLG economies: Incomplete markets",
abstract = "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.",
keywords = "Incomplete markets, Overlapping generations, Recursive equilibrium, Transversality theorem",
author = "Alessandro Citanna and Paolo Siconolfi",
year = "2012",
month = "10",
day = "1",
doi = "10.1016/j.jmateco.2012.08.003",
language = "English (US)",
volume = "48",
pages = "322--337",
journal = "Journal of Mathematical Economics",
issn = "0304-4068",
publisher = "Elsevier",
number = "5",

}

TY - JOUR

T1 - Recursive equilibrium in stochastic OLG economies

T2 - Incomplete markets

AU - Citanna, Alessandro

AU - Siconolfi, Paolo

PY - 2012/10/1

Y1 - 2012/10/1

N2 - 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.

AB - 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.

KW - Incomplete markets

KW - Overlapping generations

KW - Recursive equilibrium

KW - Transversality theorem

UR - http://www.scopus.com/inward/record.url?scp=84866352420&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84866352420&partnerID=8YFLogxK

U2 - 10.1016/j.jmateco.2012.08.003

DO - 10.1016/j.jmateco.2012.08.003

M3 - Article

AN - SCOPUS:84866352420

VL - 48

SP - 322

EP - 337

JO - Journal of Mathematical Economics

JF - Journal of Mathematical Economics

SN - 0304-4068

IS - 5

ER -