Markovian equilibrium in infinite horizon economies with incomplete markets and public policy

Mirman, Leonard J.; Morand, Olivier F.; Reffett, Kevin

doi:10.1016/j.jmateco.2005.01.001

Cited by 18 publications

(3 citation statements)

References 56 publications

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“…However, as Krusell and Smith (2003) argue if one allows discontinuous policy functions reputation e¤ects can be generated even with Markov policies. 7 …”

Section: Generalized Markov Equilibriamentioning

confidence: 99%

Markov Equilibria in Macroeconomics

Krueger¹,

Kübler²

2008

The New Palgrave Dictionary of Economics

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We review the recent literature in macroeconomics that analyses Markov equilibria in dynamic general equilibrium model. After defining the Markov equilibrium concept we first summarize what is known about the existence and uniqueness of such equilibria in models where sequential equilibria can be obtained by solving a suitable social planner problem. We then discuss the existence problems of Markov equilibria in models where equivalence of equilibrium allocations and solutions to social planner problems cannot be established and review techniques the literature has developed to deal with the existence problem, as well as recent applications of these techniques in macroeconomics.

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“…However, as Krusell and Smith (2003) argue if one allows discontinuous policy functions reputation e¤ects can be generated even with Markov policies. 7 …”

Section: Generalized Markov Equilibriamentioning

confidence: 99%

Markov Equilibria in Macroeconomics

Krueger¹,

Kübler²

2008

The New Palgrave Dictionary of Economics

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“…Re¤ett [23] develop isotone recursive methods to study MEDPs in the stochastic Ramsey models of Becker and Zilcha [10] with heterogeneous agents. They …nd su¢ cient conditions for MEDPs to be isotone and Lipschitz continuous and for MEDPs that are simply Lipschitz continuous.…”

Section: Discussionmentioning

confidence: 99%

“…In section 7, we conclude with a brief discussion of new frontiers in monotone recursive methods, to models with heterogeneous agents including the overlapping generations models with stochastic production (e.g., Erikson, Morand and Re¤ett [31]), models with unbounded stochastic nonoptimal growth (e.g., Morand and Re¤ett [57]), Ramsey-type models with heterogeneous agents (e.g., Datta, Mirman, Morand and Re¤ett [23], and the mixed monotone recursive methods discussed in Re¤ett [63] and Mirman, Re¤ett, and Stachurski [55].…”

Section: Introductionmentioning

confidence: 99%

Isotone Recursive Methods: The Case of Homogeneous Agents

Reffett

Handbook on Optimal Growth 1

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractOver the last decade, isotone recursive methods have provided uni…ed catalog of results on existence, characterization, and computation of Markovian Equilibrium Decision Processes (MEDPs) in in…-nite horizon economies where the second welfare theorem fails. Such economies include models with production nonconvexities, taxes, valued …at money, models with monopolistic competition, behavioral heterogeneity, and incomplete markets. In this paper, we survey this emerging class of methods. Our methods use a qualitative approach to economic equilibria …rst introduced in the work in operations research by Veinott and Topkis. As the methods emphasize the role of order, they are amenable for obtaining conditions for monotone comparison theorems on the space of economies. We are also able to describe monotone iterative procedures that provide the needed foundations for a theory of numerical solutions for MEDPs and stationary Markov equilibrium (SME). One interesting additional result of independent interest is we construct su¢ cient conditions for the existence of a new class of envelope theorems for nonconcave programming problems.Email addresses: Manjira.Datta@asu.edu, Kevin.Re¤ett@asu.edu. We are deeply indebted to Len Mirman and Olivier Morand for numerous lengthy discussions concerning many issues discussed in this survey. Many of the results presented in this paper were developed originally in some form during our joint work with Len and Olivier over the last …ve years. We dedicate this paper to Len Mirman on the occasion of his sixty-…fth birthday. Indeed, this paper would not have been written without Len's ongoing pioneering work on equilibrium growth under uncertainty. We also thank Elena Antoniadou, Hector Chade, John Coleman, Jeremy Greenwood, Seppo Heikkila, Ken Judd, Tom Krebs, Cuong Le Van, Robert Lucas, Jr., Jianjun Miao, Chris Shannon, John Stachurski, Yiannis Vailakis, Charles Van Marrewijk, Jean-Marie Viaene, Itzhak Zilcha, and especially Robert Becker and Manuel Santos for many helpful conversations over the past years. All mistakes remain our own.

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Comparing recursive equilibrium in economies with dynamic complementarities and indeterminacy

Reffett

Woźny

2017

Econ Theory

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Markovian equilibrium in infinite horizon economies with incomplete markets and public policy

Cited by 18 publications

References 56 publications

Markov Equilibria in Macroeconomics

Markov Equilibria in Macroeconomics

Isotone Recursive Methods: The Case of Homogeneous Agents

Comparing recursive equilibrium in economies with dynamic complementarities and indeterminacy

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