Recursive Equilibria in Dynamic Economies With Stochastic Production
Johannes Brumm, Dominika Kryczka, Felix Kubler
Econometrica · 2017 · Volume 85 · Issue 5
Abstract
In this paper, we prove the existence of recursive equilibria in a dynamic stochastic model with infinitely lived heterogeneous agents, several commodities, and general inter- and intratemporal production. We illustrate the usefulness of our result by providing sufficient conditions for the existence of recursive equilibria in heterogeneous agent versions of both the Lucas asset pricing model and the neoclassical stochastic growth model.
Keywords
Dynamic general equilibrium, incomplete markets, recursive equilibrium, heterogeneous agents
Enable JavaScript for citation tools and additional paper interactions.