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Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title Recursive equilibria in dynamic economies with stochastic production
Organization Unit
  • Johannes Brumm
  • Dominika Kryczka
  • Felix Kübler
Item Subtype Original Work
Refereed Yes
Status Published in final form
  • English
Journal Title Econometrica
Publisher Wiley-Blackwell Publishing, Inc.
Geographical Reach international
ISSN 0012-9682
Volume 85
Number 5
Page Range 1467 - 1499
Date 2017
Abstract Text In this paper we prove the existence of recursive equilibria in stochastic production economies with infinitely lived agents and incomplete financial markets. We consider a general dynamic model with several commodities, which encompasses heterogeneous agent versions of both the Lucas asset pricing model and the stochastic neo-classical growth model as special cases. Our main assumption is that there are atomless shocks to fundamentals that have a purely transitory component and a component that does not depend on last period's shocks directly.
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Digital Object Identifier 10.3982/ECTA13047
Other Identification Number merlin-id:14754
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