Stationary Markovian Equilibrium in Overlapping Generation Models with Stochastic Nonclassical Production

Olivier Morand () and Kevin Reffett

No 2005-52, Working papers from University of Connecticut, Department of Economics

Abstract: This paper provides new sufficient conditions for the existence, computation via successive approximations, and stability of Markovian equilibrium decision processes for a large class of OLG models with stochastic nonclassical production. Our notion of stability is existence of stationary Markovian equilibrium. With a nonclassical production, our economies encompass a large class of OLG models with public policy, valued fiat money, production externalities, and Markov shocks to production. Our approach combines aspects of both topological and order theoretic fixed point theory, and provides the basis of globally stable numerical iteration procedures for computing extremal Markovian equilibrium objects. In addition to new theoretical results on existence and computation, we provide some monotone comparative statics results on the space of economies.

JEL-codes: C62 E13 O41 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2005-09
New Economics Papers: this item is included in nep-dge
Note: The authors would like to thank John Coleman, Manjira Datta, Jaime Erikson, Len Mirman, Seppo Heikkila, Manuela Santos, John Stachurski and Yiannis Vailakis for very helpful discussions on topics related to this paper. All mistakes are our own.
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