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Useful results for the simulation of non-optimal economies with heterogeneous agents

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorPierri, Damian Rene
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economíaes
dc.date.accessioned2021-09-07T15:49:37Z
dc.date.available2021-09-07T15:49:37Z
dc.date.issued2021-09-07
dc.description.abstractThis paper deals with infinite horizon non-optimal economies with aggregate uncertainty and a finite number of heterogeneous agents. It derives sufficient conditions for the existence of a recursive structure,an ergodic, a stationary, and a non-stationary equilibria. It also gives an answer to the following question: is it possible to derive a general framework which guarantees that numerical simulations truly reflect the behavior of endogenous variables in the model? We provide sufficient conditions to give an affirmative answer to this question for endowment economies with incomplete markets and uncountable exogenous shocks. These conditions guarantee the ergodicity of the process and hold for a particular selection mechanism. For economies with finitely many shocks or for an arbitrary selection in economies with uncountable shocks, it is only possible to show that a computable, time independent and recursive representation generates a stationary Markov process. The results in this paper suggest that often a well defined stochastic steady state in heterogenous agent models is sensitive to the initial conditions of the economy; a fact which imply that heterogeneity may have irreversible long-lasting effects.es
dc.identifier.issn2340-5031es
dc.identifier.urihttps://hdl.handle.net/10016/33246
dc.identifier.uxxiDT/0000001922es
dc.language.isoenges
dc.relation.ispartofseriesWorking paper. Economicsen
dc.relation.ispartofseries21-06
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.jelC63
dc.subject.jelC68
dc.subject.jelD52
dc.subject.jelD58
dc.subject.otherNon-Optimal Economiesen
dc.subject.otherMarkov Equilibriumen
dc.subject.otherHeterogeneous Agentsen
dc.subject.otherSimulationsen
dc.titleUseful results for the simulation of non-optimal economies with heterogeneous agentsen
dc.typeworking paper*
dspace.entity.typePublication
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