Recursive equilibrium in stochastic OLG economies: Incomplete markets

Alessandro Citanna and Paolo Siconolfi

Journal of Mathematical Economics, 2012, vol. 48, issue 5, 322-337

Abstract: We prove generic existence of recursive equilibrium for overlapping generations economies with uncertainty and incomplete financial markets. Generic here means in a residual set of utilities and endowments. The result holds provided there is sufficient intragenerational household heterogeneity, and transition probabilities and the asset payoff matrix satisfy mild regularity conditions. The paper also provides a new methodological technique to establish comparative statics, or perturbation, properties in such environments.

Keywords: Overlapping generations; Incomplete markets; Recursive equilibrium; Transversality theorem (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:48:y:2012:i:5:p:322-337

DOI: 10.1016/j.jmateco.2012.08.003

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