This paper considers a neoclassical optimal growth problem where the shock that perturbs the economy in each time period is potentially unbounded on the state space. Sufficient conditions for existence, uniqueness and stability of equilibria are derived in terms of the primitives of the model using recent techniques from the field of perturbed dynamical… (More)
The paper considers random economic systems generating nonlinear time series on the positive half-ray R +. Using Lyapunov techniques, new conditions for existence, uniqueness and stability of stationary equilibria are obtained. The conditions generalize earlier results from the mathematical literature, and extend to models outside the scope of existing… (More)
In the problem of economic development, a phrase that crops up frequently is 'the vicious circle of poverty.' It is generally treated as something obvious, too obvious to be worth examining. I hope I may be forgiven if I begin by taking a look at this obvious concept.
The paper proposes an Euler equation technique for analyzing the stability of differ-entiable stochastic programs. The main innovation is to use marginal reward directly as a Foster–Lyapunov function. This allows us to extend known stability results for stochastic optimal growth models, both weakening hypotheses and strengthening conclusions.
This paper proposes and implements a method to predict the evolution of the crosscountry income distribution using a stochastic parameterization of the Azariadis– Drazen (1990) nonconvex growth model. We estimate the dynamic structure of that model from data in the Penn World Tables, and define inductively all future distributions as a norm-convergent… (More)
This paper studies optimal investment and dynamic behaviour of stochastically growing economies. We assume neither convex technology nor bounded support of the productivity shocks. A number of basic results concerning the investment policy and the Ramsey–Euler equation are established. We also prove a fundamental dichotomy pertaining to optimal growth… (More)
The date of receipt and acceptance will be inserted by the editor Summary. This note studies conditions under which sequences of state variables generated by discrete-time stochastic optimal accumulation models have law of large numbers and central limit properties. Productivity shocks with unbounded support are considered. Instead of restrictions on the… (More)
This paper extends a family of well-known stability theorems for monotone economies to a significantly larger class of models. We provide a set of general conditions for existence, uniqueness and stability of stationary distributions when monotonicity holds. The conditions in our main result are both necessary and sufficient for global stability of monotone… (More)
The paper gives conditions under which stationary distributions of Markov models depend continuously on the parameters. It extends a well-known parametric continuity theorem for compact state space to the unbounded setting of standard econo-metrics and time series analysis. Applications to several theoretical and estimation problems are outlined.