Stochastic Optimal Growth with Risky Labor Supply

Yiyong Cai, Takashi Kamihigashi and John Stachurski
Additional contact information
John Stachurski: Research School of Economics, Australian National University, Australia

No DP2013-23, Discussion Paper Series from Research Institute for Economics & Business Administration, Kobe University

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.

Keywords: Stochastic stability; Elastic labor; Optimal growth (search for similar items in EconPapers)
JEL-codes: C62 C63 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2013-08
New Economics Papers: this item is included in nep-dge, nep-ore and nep-spo
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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https://www.rieb.kobe-u.ac.jp/academic/ra/dp/English/DP2013-23.pdf First version, 2013 (application/pdf)

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