On the nonexistence of recursive equilibrium in stochastic OLG economies

Alessandro Citanna (1) , Paolo Siconolfi

1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC

We study a class of stochastic Overlapping generations (OLG) economies that have one-memory equilibria, that is equilibria that are determined by the current and past realizations of the states of uncertainty. This class is negligible, but important. In particular, it contains all the known examples of nonexistence of recursive equilibrium. We show that, within this restricted domain, the existence of recursive equilibrium is actually typical, and such examples are therefore nonrobust.

Mots clés: Stochastic OLG economies; Recursive equilibrium; One-memory equilibrium

Domaines: Economie et sciences de la décision

Alessandro Citanna, Paolo Siconolfi. On the nonexistence of recursive equilibrium in stochastic OLG economies. Economic Theory, 2008, Vol.37, n°3, p.417-437. ⟨10.1007/s00199-007-0298-4⟩. ⟨hal-00480206⟩