Almost sure convergence to zero in stochastic growth models

This paper considers the resource constraint commonly used in stochastic one-sector growth models. Shocks are not required to be i.i.d. It is shown that any feasible path converges to zero exponentially fast almost surely under a certain condition. In the case of multiplicative shocks, the condition means that the shocks are sufficiently volatile. Convergence is faster the larger their volatility is, and the smaller the maximum average product of capital is.

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Year of publication:	2003-09
Authors:	Kamihigashi, Takashi
Institutions:	Research Institute for Economics and Business Administration, Kobe University
Subject:	Stochastic growth \| Inada condition \| Convergence to zero \| Extinction

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Extent:	application/pdf
Series:	Discussion Paper Series. - ISSN 1345-2207.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 170 10 pages
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C62 - Existence and Stability Conditions of Equilibrium ; E30 - Prices, Business Fluctuations, and Cycles. General ; O41 - One, Two, and Multisector Growth Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005675551