You are here: Home Nachrichten Elisabeth Pröhl

Elisabeth Pröhl

— filed under:

Existence and Uniqueness of Recursive Equilibria with Aggregate and Idiosyncratic Risk

  • FDM Seminar
When Feb 08, 2019
from 12:00 PM to 01:00 PM
Where Room 404, Ernst-Zermelo-Straße 1, Freiburg i. Br.
Add event to calendar vCal


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.

Personal tools