Markov rational expectations equilibria in an overlapping generations model (Q1089238)

The authors consider a model of overlapping generations uncertainty. Each agent lives two periods and his endowments of the first period are given by i.i.d. random vectors. Some new results of \textit{S. E. Spear} [ibid. 35, 251-275 (1985; Zbl 0576.90017)] show that in case of more than one consumption good measure isomorphic equilibria do not exist. The authors therefore concentrate on Markovian equilibria and prove the existence of first order Markovian equilibria. The assumption of rational expectation implies that agents know the distribution of relevant future prices; this requirement is specified as fulfilled expectations equilibrium or rational expectations equilibrium, existence of the latter one is proved for non atomic endowment distributions. The authors examine the dynamical properties of the equilibrium process of prices and allocations and prove that the process enters an ergodic set in finite time. The analysis makes heavy use of results of \textit{Y. Balasko} [J. Math. Econ. 2, 95-118 (1975; Zbl 0313.90010) and \textit{J.-M. Grandmont} and \textit{W. Hildenbrand} [ibid. 1, 247-277 (1974; Zbl 0296.90008)].