The possibility is explored that purchasing power parity (PPP) can be useful in forecasting exchange rates and/or prices. The first step shows that the spot exchange rate is statistically exogenous in the PPP relationship. The next step investigates the forecastability of the variables in the...

Based on an order-theoretic approach, we derive sufficient conditions for the existence, characterization, and computation of minimal state space Markovian equilibrium decision processes (MEDPs) and stationary Markov equilibrium (SME) for a large class of stochastic overlapping generations...

We embed learning (without experimentation) in optimal growth. We extend the Mirman-Zilcha results of stochastic optimal growth to the learning case. We use recursive methods to study the effect of learning on the dynamic program by considering the case of iso-elastic utility and linear...

Using order-theoretic methods, we derive sufficient conditions for the existence, characterization, and computation of minimal state space recursive equilibrium (RE), as well as Stationary Markov equilibrium (SME) for various classes of stochastic overlapping generations models. In contrast to...

In this note, we show that the least xed point of the Bellman op- erator in a certain set can be computed by value iteration whether or not the xed point is the value function. As an application, we show one of the main results of Kamihigashi (2014a) with a simpler proof.

We provide sufficient conditions for existence and uniqueness of a monotone, Lipschitz continuous Markov stationary Nash equilibrium (MSNE) and characterize its associated Stationary Markov equilibrium in a class of intergenerational paternalistic altruism models with stochastic production. Our...

We introduce a new class of infinite horizon altruistic stochastic OLG models with capital and labor, but without commitment between the generations. Under mild regularity conditions, for economies with either bounded or unbounded state spaces, continuous monotone Markov perfect Nash equilibrium...

In this note, we show that the least fixed point of the Bellman operator in a certain set can be computed by value iteration whether or not the fixed point is the value function. As an application, we show one of the main results of Kamihigashi (2014, "Elementary results on solutions to the...

We study a class of infinite horizon, discounted stochastic games with strategic complementarities. In our class of games, we prove the existence of a stationary Markov Nash equilibrium, as well as provide methods for constructing this least and greatest equilibrium via a simple successive...

We study a class of discounted, infinite horizon stochastic games with public and private signals and strategic complementarities. Using monotone operators defined on the function space of values and strategies (equipped with a product order), we prove existence of a stationary Markov–Nash...