Stationary Ramsey Equilibria under Uncertainty

Deterministic dynamic equilibrium models with borrowing constraints and heterogeneous agents exhibit stationary solutions where the most patient household owns the economy's capital stock. An example shows that this result does not carry over to stationary stochastic environments. We prove, under some conditions, the existence of a stationary rational expectations equilibrium in two related setups. The first is the existence of a stationary Nash equilibrium where each agent's payoff depends on his capital process and the capital processes of the remaining agents. The second existence theorem applies to a stationary competitive equilibrium model.Journal of Economic LiteratureClassification Numbers: E13, E21, D80.