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Stochastic Optimal Growth with Risky Labor Supply

Yiyong Cai (), Takashi Kamihigashi and John Stachurski ()

ANU Working Papers in Economics and Econometrics from Australian National University, College of Business and Economics, School of Economics

Abstract: Production takes time, and labor supply and profit maximization decisions that relate to current production are typically made before all shocks affecting that production have been realized. In this paper we re-examine the problem of stochastic optimal growth with aggregate risk where the timing of the model conforms to this information structure. We provide a set of conditions under which the economy has a unique, nontrivial and stable stationary distribution. In addition, we verify key optimality properties in the presence of unbounded shocks and rewards, and provide the sample path laws necessary for consistent estimation and simulation.

JEL-codes: C61 C62 O41 (search for similar items in EconPapers)
Pages: 29 Pages
Date: 2012-10
New Economics Papers: this item is included in nep-dge
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https://www.cbe.anu.edu.au/researchpapers/econ/wp585.pdf (application/pdf)

Related works:
Journal Article: Stochastic optimal growth with risky labor supply (2014) Downloads
Working Paper: Stochastic Optimal Growth with Risky Labor Supply (2013) Downloads
Working Paper: Stochastic Optimal Growth with Risky Labor Supply (2012) Downloads
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