TY - JOUR
T1 - Computing minimal state space recursive equilibrium in OLG models with stochastic production
AU - McGovern, Jaime
AU - Morand, Olivier F.
AU - Reffett, Kevin
N1 - Copyright:
Copyright 2021 Elsevier B.V., All rights reserved.
PY - 2013/11
Y1 - 2013/11
N2 - Using order-theoretic methods, we derive sufficient conditions for the existence, characterization, and computation of minimal state space recursive equilibrium (RE), as well as Stationary Markov equilibrium (SME) for various classes of stochastic overlapping generations models. In contrast to previous work, our methods focus on constructive methods. Our existence results are obtained for models that include public policy (e.g., social security policies, transfers, taxes, etc), production nonconvexities, elastic labor supply, non-monotone income processes, and long-lived agents. We distinguish conditions under which there exist various subclasses of minimal state space RE, including bounded, monotone, non-monotone, semicontinuous, Lipschitz continuous RE. Finally, we provide monotone equilibrium comparative statics results on the space of economies for some RE.
AB - Using order-theoretic methods, we derive sufficient conditions for the existence, characterization, and computation of minimal state space recursive equilibrium (RE), as well as Stationary Markov equilibrium (SME) for various classes of stochastic overlapping generations models. In contrast to previous work, our methods focus on constructive methods. Our existence results are obtained for models that include public policy (e.g., social security policies, transfers, taxes, etc), production nonconvexities, elastic labor supply, non-monotone income processes, and long-lived agents. We distinguish conditions under which there exist various subclasses of minimal state space RE, including bounded, monotone, non-monotone, semicontinuous, Lipschitz continuous RE. Finally, we provide monotone equilibrium comparative statics results on the space of economies for some RE.
KW - Equilibrium computation
KW - Monotone Comparative statics
KW - Order-theoretic fixed point theory
KW - Recursive equilibrium
KW - Stationary Markov equilibrium
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U2 - 10.1007/s00199-012-0728-9
DO - 10.1007/s00199-012-0728-9
M3 - Article
AN - SCOPUS:84891153691
SN - 0938-2259
VL - 54
SP - 623
EP - 674
JO - Economic Theory
JF - Economic Theory
IS - 3
ER -