INTERTEMPORAL EQUILIBRIA OF HETEROGENEOUS-AGENT MODELS WITH RECURSIVE UTILITIES

Three models involving multiple agents having recursive preferences are studied. The first model analyzes a one-sector economy with finitely many agents. Local convergence to a unique steady state is established under the assumptions of normality and increasing marginal impatience for agents' preferences. Inferiority of future utility is shown to cause oscillations. The second model analyzes a two-sector economy. It is shown that oscillations and periodic cycles can arise either through sufficient inferiority of future utility for at least one agent, or sufficient labor-intensity of the capital goods sector. The third model studies global dynamics of a two-agent exchange economy. Under the assumption of globally decreasing marginal impatience, it is shown that one agent's consumption stream asymptotically converges to zero. Necessary and sufficient restrictions are worked out to ensure interiority of long-run consumption allocations for both agents.