Econometrica: Sep 2017, Volume 85, Issue 5
Recursive equilibria in dynamic economies with stochastic production
Johannes Brumm, Dominika Kryczka, Felix KublerIn this paper, we prove the existence of recursive equilibria in a dynamic stochastic model with infinitely lived heterogeneous agents, several commodities, and general inter‐ and intratemporal production. We illustrate the usefulness of our result by providing sufficient conditions for the existence of recursive equilibria in heterogeneous agent versions of both the Lucas asset pricing model and the neoclassical stochastic growth model.
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