Extrinsic uncertainty, ergodic chaos and monetary policy in two intertemporal economic models

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dc.contributor.advisorHaim, Abrahamen_ZA
dc.contributor.authorCharlton, Richard Michaelen_ZA
dc.date.accessioned2015-05-06T14:20:47Z
dc.date.available2015-05-06T14:20:47Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical referencesen_ZA
dc.description.abstractThe thesis examines extrinsic uncertainty and ergodic chaos in two types of intertemporal economic models. The thesis is divided into four chapters. In the first chapter the existence of extrinsic uncertainty also known as sunspots is analysed within the framework of a single commodity two-period pure exchange over lapping generations model. Transversality techniques are utilised to show that extrinsically uncertain equilibria are locally generic in the space of endowments. An application of the methodology of the multijet transversality theorem demonstrates that equilibria are regular for a dense set of utility functions. The analysis of this paper extends and complements existence results concerning the robustness of stationary sunspot equilibria. In the second chapter, a multi-commodity version of the model of the first chapter is analysed. The equilibrium system is divided into the set of equations defined by (i) the stochastic budget constraints and by (ii) stochastic excess demand functions a geometric equilibrium is defined. A transversality technique shows that for almost every endowment vector the manifolds generated by (i) and (ii) do not intersect each other hence geometric stationary sunspot equilibria do not exist. This result is contrasted against the fact that regular non-stochastic monetary steady state equilibria generically exist. Furthermore, the existence of such equilibria is sufficient for the existence of an intrinsically uncertain equilibria. The results answer the question of the validity of the equilibrium concept of extrinsic uncertainty within a stationary environment.en_ZA
dc.identifier.apacitationCharlton, R. M. (2014). <i>Extrinsic uncertainty, ergodic chaos and monetary policy in two intertemporal economic models</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/12757en_ZA
dc.identifier.chicagocitationCharlton, Richard Michael. <i>"Extrinsic uncertainty, ergodic chaos and monetary policy in two intertemporal economic models."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2014. http://hdl.handle.net/11427/12757en_ZA
dc.identifier.citationCharlton, R. 2014. Extrinsic uncertainty, ergodic chaos and monetary policy in two intertemporal economic models. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Charlton, Richard Michael AB - The thesis examines extrinsic uncertainty and ergodic chaos in two types of intertemporal economic models. The thesis is divided into four chapters. In the first chapter the existence of extrinsic uncertainty also known as sunspots is analysed within the framework of a single commodity two-period pure exchange over lapping generations model. Transversality techniques are utilised to show that extrinsically uncertain equilibria are locally generic in the space of endowments. An application of the methodology of the multijet transversality theorem demonstrates that equilibria are regular for a dense set of utility functions. The analysis of this paper extends and complements existence results concerning the robustness of stationary sunspot equilibria. In the second chapter, a multi-commodity version of the model of the first chapter is analysed. The equilibrium system is divided into the set of equations defined by (i) the stochastic budget constraints and by (ii) stochastic excess demand functions a geometric equilibrium is defined. A transversality technique shows that for almost every endowment vector the manifolds generated by (i) and (ii) do not intersect each other hence geometric stationary sunspot equilibria do not exist. This result is contrasted against the fact that regular non-stochastic monetary steady state equilibria generically exist. Furthermore, the existence of such equilibria is sufficient for the existence of an intrinsically uncertain equilibria. The results answer the question of the validity of the equilibrium concept of extrinsic uncertainty within a stationary environment. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Extrinsic uncertainty, ergodic chaos and monetary policy in two intertemporal economic models TI - Extrinsic uncertainty, ergodic chaos and monetary policy in two intertemporal economic models UR - http://hdl.handle.net/11427/12757 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/12757
dc.identifier.vancouvercitationCharlton RM. Extrinsic uncertainty, ergodic chaos and monetary policy in two intertemporal economic models. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/12757en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherEconomicsen_ZA
dc.titleExtrinsic uncertainty, ergodic chaos and monetary policy in two intertemporal economic modelsen_ZA
dc.typeDoctoral Thesis
dc.type.qualificationlevelDoctoral
dc.type.qualificationnamePhDen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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