We give sufficient conditions for a non-zero sum discounted stochastic game with compact and convex action spaces and with norm-continuous transition probabilities, but with possibly unbounded state space, to have a Nash equilibrium in homogeneous Markov strategies that depends in a Lipschitz continuous manner on the current state. If the underlying state space is compact this yields the existe...

We analyze the interaction between risk sharing and capital accumulation in a stochastic OLG model with production. We give a complete characterization of interim Pareto optimal competitive equilibrium allocations. Furthermore, we provide tests of Pareto optimality/suboptimality based on (risky) rates of return only. © 2007 Elsevier Inc. All rights reserved. JEL classification: D61; D91; E13; E43

The empirical success of Real Business Cycle (RBC) models is often judged by their ability to explain the behavior of a multitude of real macroeconomic variables using a single exogenous shock process. This paper shows that in a model with the same basic structure as the bare bones RBC model, monetary, cost-push or preference shocks are equally successful at explaining the behavior of macroecon...

Output and asset returns are highly positively correlated across the U.S. and the remaining major industrialized countries. Standard business cycle models that assume #exible prices and wages, in the real business cycle (RBC) tradition, have great di$culties explaining this fact. This paper presents a dynamic-optimizing stochastic general equilibrium model of a two-country world with sticky nom...

Analytical expectational stability results are obtained for both Euler-equation and infinitehorizon adaptive learning in a simple stochastic growth model. The rational expectations equilibrium is stable under both types of learning, though there are differences in the learning dynamics. JEL Classification: E62, D84, E21, E43.