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Optimality in Stochastic OLG Models: Theory for Test

Chattopadhyay, S. (2006) Optimality in Stochastic OLG Models: Theory for Test. Journal of Economic Theory, 131 (1). pp. 282-294. ISSN 0022-0531

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Abstract

We consider general OLG economies under uncertainty, with short maturity assets and with dividend paying assets of infinite maturity and fiat money, and study the optimality properties of equilibria with a sequence of asset markets that are sequentially complete. We provide necessary and sufficient conditions, in terms of asset prices and dividends, for equilibria to be conditionally Pareto optimal. These results provide a theoretical basis for empirical investigation.

Item Type: Article
Keywords: Stochastic overlapping generations models; Optimality characterization; Empirical tests; Asset markets
Institution: The University of York
Academic Units: The University of York > Economics and Related Studies (York)
Depositing User: York RAE Import
Date Deposited: 29 May 2009 10:07
Last Modified: 29 May 2009 10:08
Published Version: http://dx.doi.org/10.1016/j.jet.2005.03.004
Status: Published
Publisher: Elsevier Science B.V., Amsterdam
Refereed: Yes
Identification Number: 10.1016/j.jet.2005.03.004
URI: http://eprints.whiterose.ac.uk/id/eprint/6624

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