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...

It is common to study the asymptotic properties of log-linear stochastic systems by analyzing the behaviour of their linear counterparts. In this paper a formal justification for analysis by log-linearization is given. As an application, a new existence, uniqueness and stability condition is...

New results in the asymptotic theory of Markov processes are applied to analysis of the long-run behaviour exhibited by optimal growth models with unbounded productivity shock. The techniques developed here are geometrically intuitive, and are shown to imply global stability for a popular model...

This note studies conditions under which sequences of capital per head generated by stochastic optimal accumulation models have law of large numbers and central limit properties. The regularity condition used on the productivity shock is somewhat different to that of previous studies. In...

This paper introduces a multisector model of commodity markets with storage, where equilibrium is defined by profit maximization, arbitrage and market clearing conditions. We then solve for the decentralized equilibrium via a corresponding dynamic program. We also describe the dynamics of the...

This paper proposes and implements a method to predict evolution of the crosscountry income distribution from a nonconvex growth model with unbounded productivity shocks, fitted to panel data by threshold autoregresion. We estimate the stochastic kernel of the process, and define inducively all...

The paper introduces a multiplicative drift condition for evaluating stochastic economic models. The drift condition is shown to permit computation of quantitative bounds for extreme event probabilities in terms of the model primitives. By way of illustration, the technique is applied to a...

Production takes time, and labor supply and profit maximization decisions that relate to current production are typically made before all shocks affecting that production have been realized. In this paper we re-examine the problem of stochastic optimal growth with aggregate risk where the timing...