Abstract
We review the recent literature in macroeconomics that analyses Markov equilibria in dynamic general equilibrium model. After defining the Markov equilibrium concept we first summarize what is known about the existence and uniqueness of such equilibria in models where sequential equilibria can be obtained by solving a suitable social planner problem. We then discuss the existence problems of Markov equilibria in models where equivalence of equilibrium allocations and solutions to social planner problems cannot be established and review techniques the literature has developed to deal with the existence problem, as well as recent applications of these techniques in macroeconomics.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Bibliography
Abreu, D., D. Pearce, and E. Stacchetti. 1990. Toward a theory of repeated games with discounting. Econometrica 58: 1041–1063.
Atkeson, A., and R. Lucas. 1992. On efficient distribution with private information. Review of Economic Studies 59: 427–453.
Bellman, R. 1957. Dynamic programming. Princeton: Princeton University Press.
Blackwell, D. 1965. Discounted dynamic programming. Annals of Mathematical Statistics 36: 226–235.
Coleman, J. 1991. Equilibrium in a production economy with an income tax. Econometrica 59: 1091–1104.
Cooley, T. 1995. Frontiers of business cycle research. Princeton: Princeton University Press.
Datta, M., L. Mirman, O. Morand, and K. Reffett. 2005. Markovian equilibrium in infinite horizon economies with incomplete markets and public policy. Journal of Mathematical Economics 41: 505–544.
Duffie, D., J. Geanakoplos, A. Mas-Colell, and A. McLennan. 1994. Stationary Markov equilibria. Econometrica 62: 745–781.
Heaton, H., and D. Lucas. 1996. Evaluating the effects of incomplete markets on risk sharing and asset pricing. Journal of Political Economy 104: 443–487.
Klein, P., and V. Rios-Rull. 2003. Time consistent optimal fiscal policy. International Economic Review 44: 1217–1246.
Krebs, T. 2004. Non-existence of recursive equilibria on compact state spaces when markets are incomplete. Journal of Economic Theory 115: 134–150.
Krebs, T. 2006. Recursive equilibrium in endogenous growth models with incomplete markets. Economic Theory 29: 505–523.
Krusell, P., and A. Smith. 1998. Income and wealth heterogeneity in the macroeconomy. Journal of Political Economy 106: 867–896.
Krusell, P., and A. Smith. 2003. Consumption–savings decisions with quasi–geometric discounting. Econometrica 71: 365–376.
Kubler, F., and H. Polemarchakis. 2004. Stationary Markov equilibria for overlapping generations. Economic Theory 24: 623–643.
Kubler, F., and K. Schmedders. 2002. Recursive equilibria in economies with incomplete markets. Macroeconomic Dynamics 6: 284–306.
Kubler, F., and K. Schmedders. 2003. Stationary equilibria in asset-pricing models with incomplete markets and collateral. Econometrica 71: 1767–1795.
Kydland, F., and E. Prescott. 1980. Dynamic optimal taxation, rational expectations and optimal control. Journal of Economic Dynamics and Control 2: 79–91.
Kydland, F., and E. Prescott. 1982. Time to build and aggregate fluctuations. Econometrica 50: 1345–1371.
Ljungqvist, L., and T. Sargent. 2000. Recursive macroeconomic theory. Cambridge, MA: MIT Press.
Lucas, R. 1978. Asset prices in an exchange economy. Econometrica 46: 1426–1445.
Lucas, R., and E. Prescott. 1971. Investment under uncertainty. Econometrica 39: 659–681.
Marcet, A. and Marimon, R. 1998. Recursive contracts. Working paper, University Pompeu Fabra, Barcelona.
Maskin, E., and J. Tirole. 2001. Markov perfect equilibrium. Journal of Economic Theory 100: 191–219.
Miao, J., and Santos, M. 2005. Existence and computation of Markov equilibria for dynamic non–optimal economies. Working paper, Department of Economics, Boston University.
Phelan, C., and E. Stacchetti. 2001. Sequential equilibria in a Ramsey tax model. Econometrica 69: 1491–1518.
Rios-Rull, V. 1996. Life cycle economies with aggregate fluctuations. Review of Economic Studies 63: 465–490.
Santos, M. 2002. On non-existence of Markov equilibria for competitive-market economies. Journal of Economic Theory 105: 73–98.
Spear, S., and S. Srivastava. 1987. On repeated moral hazard with discounting. Review of Economic Studies 54: 599–617.
Stokey, N., R. Lucas, and E. Prescott. 1989. Recursive methods in economic dynamics. Cambridge, MA: Harvard University Press.
Thomas, J., and T. Worrall. 1988. Self-enforcing wage contracts. Review of Economic Studies 55: 541–554.
Author information
Authors and Affiliations
Editor information
Copyright information
© 2018 Macmillan Publishers Ltd.
About this entry
Cite this entry
Krueger, D., Kubler, F. (2018). Markov Equilibria in Macroeconomics. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_1979
Download citation
DOI: https://doi.org/10.1057/978-1-349-95189-5_1979
Published:
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-95188-8
Online ISBN: 978-1-349-95189-5
eBook Packages: Economics and FinanceReference Module Humanities and Social SciencesReference Module Business, Economics and Social Sciences