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Short-memory equilibrium in stochastic overlapping generations economies

Author

Listed:
  • Alessandro Citanna

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique)

  • Paolo Siconolfi

Abstract

n stochastic OLG exchange economies, we show that short-memory equilibria—the natural extension from deterministic economies of steady states, low-order cycles, or finite state-space stationary sunspots equilibria—fail to exist generically in utilities. As a result, even with independent and identically distributed exogenous shocks there is serial correlation in endogenous economic variables in equilibrium. This arises even if utilities are time-separable, some goods inferior, and there are no technological lags. Hence, the origins of economic fluctuations can be traced only to the demographic structure of a heterogeneous agent, multiple-good economy

Suggested Citation

  • Alessandro Citanna & Paolo Siconolfi, 2007. "Short-memory equilibrium in stochastic overlapping generations economies," Post-Print halshs-00170371, HAL.
    • Handle: RePEc:hal:journl:halshs-00170371
    DOI: 10.1016/j.jet.2006.04.006
    as

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    Cited by:

    1. Tvede Mich, 2009. "Fluctuations in Overlapping Generations Economies," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 9(1), pages 1-19, May.

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