на главную поиск contacts

Markov-Perfect Industry Dynamics: A Framework for Empirical Work

Опубликовано на портале: 22-05-2007
Review of Economic Studies. 1995.  Vol. 62. No. 1. P. 53-82. 
This paper provides a model of firm and industry dynamics that allows for entry, exit, and firm-specific uncertainty generating variability in the fortunes of firms. It focuses on the impact of uncertainty arising from investment in research and exploration. It analyzes the behavior of individual firms in an evolving market place and derives optimal policies, including exit. Then it adds an entry process and aggregates the optimal behavior of all firms, including potential entrants, into a rational expectations Markov-perfect industry equilibrium and proves ergodicity of the equilibrium process. Numerical examples illustrate the detailed characteristics of the stochastic process generating industry structures.

Ключевые слова

См. также:
Giuseppe Ferrero
Journal of Economic Dynamics and Control. 2007.  Vol. 31. No. 9. P. 3006-3041. 
Lawrence R. Glosten, Ravi Jaganathan, David E. Runkle
Journal of Finance. 1993.  Vol. 48. No. 5. P. 1779-1801. 
Andreu Mas-Colell, Michael D. Whinston, Jerry Richard Green
Stephen J. Turnovsky
Андрей Юрьевич Жигаев
Экономический журнал ВШЭ. 1999.  Т. 3. № 3. С. 395-422.