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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Recursive equilibria in dynamic economies with stochastic production |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| 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. |
| Related URLs | |
| Digital Object Identifier | 10.3982/ECTA13047 |
| Other Identification Number | merlin-id:14754 |
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