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Elisabeth Pröhl

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Existence and Uniqueness of Recursive Equilibria with Aggregate and Idiosyncratic Risk

Was
  • FDM-Seminar
Wann 08.02.2019
von 12:00 bis 13:00
Wo Ernst-Zermelo-Straße 1, Raum 404, 4. OG
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In this paper, I study the existence and uniqueness of recursive equilibria in production economies with aggregate risk. The economy features a continuum of agents who, in addition to aggregate risk, face idiosyncratic shocks and borrowing constraints. In particular, I establish existence for the Aiyagari-Bewley growth model à la Krusell and Smith (1998). In contrast to the existing literature, I do not rely on compactness to establish a fixed point. I instead exploit the monotonicity property of the equilibrium model and rely on arguments from convex analysis. Furthermore, this methodology gives rise to a uniqueness result for the Aiyagari-Bewley economy which is not restricted to a risk aversion parameter smaller equal one.

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