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Uncertain horizon and stability: Analysis in an optimal growth model

โœ Scribed by Itzhak Zilcha

Publisher
Elsevier Science
Year
1987
Tongue
English
Weight
404 KB
Volume
11
Category
Article
ISSN
0165-1889

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โœฆ Synopsis

In a one-sector optimal growth model with uncertainty about production optimal capital stocks converge in distribution to a stochastic modified golden rule [see, for example Brock and Mirman (1972,1973)]. We show that such a result cannot be obtained, in general, if in addition to the random one-period shocks to production there is also a lasting shock to the production function at some random date in the future; however, the conditional optimal capital stocks 'bunch together' over time, i.e., a turnpike result for optimal programs is proved.

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