Publication Date: June 2000
We describe conditions for the existence of a stationary Markovian equilibrium when total production or total endowment is a random variable. Apart from regularity assumptions, there are two crucial conditions: (i) low information — agents are ignorant of both total endowment and their own endowments when they make decisions in a given period, and (ii) proportional endowments — the endowment of each agent is in proportion, possibly a random proportion, to the total endowment. When these conditions hold, there is a stationary equilibrium. When they do not hold, such equilibrium need not exist.
Information, stochastic process, money, and disequilibrium
JEL Classification Codes: C72, C73, D80
Published in Annals of the International Society of Dynamic Games (2005), 7: 3-20