Rational expectations in the overlapping generations model
type: Item
instance of: scholarly article
title: Rational expectations in the overlapping generations model
zbMATH Open document ID: 0576.90017
DOI: 10.1016/0022-0531(85)90043-2
published in: Journal of Economic Theory
publication date: 1985-01-01T00:00:00Z
review text: The author reports results on the character of the rational expectations equilibria of a stochastic overlapping generations model with heterogeneous markets. It is shown that the rational expectations equilibrium stochastic process of prices and allocations must exhibit serial correlation for a generic class of preferences as long as there are more than one commodities traded in every period. The main ingredients of the model (in distinction to one commodity models) are behavioral lags introduced through agents preferences, i.i.d. shocks to endowments as well as finite life-cycle characteristics implied by the overlapping generations model. The overlapping generations approach, as opposed to infinite-lived agents models, allows for an alternative view of the role of preferences in generating serially correlated equilibria, for a greater generality in the specification of lags, and it allows to understand more deeply the peculiar problem of the budgetary constraints on equilibrium in one commodity models.
Mathematics Subject Classification ID: 91B62
zbMATH DE Number: 3922323
zbMATH Keywords: rational expectations equilibria
zbMATH Keywords: stochastic overlapping generations model
zbMATH Keywords: heterogeneous markets
zbMATH Keywords: stochastic process of prices
zbMATH Keywords: serial correlation
author: Stephen Spear
MaRDI profile type: Publication
full work available at URL: 0022-0531(85)90043-2
OpenAlex ID: W1987742110
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description: scientific article; zbMATH DE number 3922323