Research interests

Asset pricing, financial economics, behavioral macro-finance, general equilibrium theory

Publication

Stochastic overlapping generations with non-convex budget sets (with Felix Kubler) 

Non-convexities and discrete choices have become important modeling tools in modern macro-economics. Unfortunately, existence of competitive equilibria in the presence of such non-convexities is not always ensured and most results on the existence of equilibrium that can be found in the literature consider a very general model and are not directly applicable to the macro-models used in the literature. In this paper we explain the three main problems one needs to face when proving existence and give simple sufficient conditions for the existence of competitive equilibria in stochastic OLG models with discrete choices and non-convex preferences. We also consider a version of the model without aggregate uncertainty but with bankruptcy and default and prove existence of a steady state equilibrium.

Working papers

Recursive equilibrium with relaxed consistency

AI-generated audio overview (Google NotebookLM). The hosts are AI voices and may contain inaccuracies or simplifications; the paper is authoritative. 

Recursive equilibrium equates beliefs with laws generated by optimal behavior, yet weak convergence of joint laws need not preserve the conditionals required for recursive decisions. We introduce an equilibrium concept that retains exact optimization under subjective beliefs while allowing a prescribed weak discrepancy between beliefs and generated laws. Under regularity conditions on decisions and law assembly, we prove existence for every positive tolerance and every prescribed evaluation measure. When the implemented transition is also Feller, the evaluation measure can be chosen invariant under equilibrium dynamics. A regularization operator supplies the existence witness, making conditional beliefs stable under weak changes in joint laws. In a compact economy with Krusell--Smith frictions, equilibria exist at every state representation retaining price-relevant information, including moment representations; for deterministic aggregate forecasts, forecast error and joint-law closure bound each other. The framework gives an equilibrium interpretation to represented computation without presupposing an exact recursive equilibrium.

Recursive Equilibrium with Approximately Stationary Beliefs (with Ally Quan Zhang) 

This paper studies recursive equilibrium in dynamic stochastic economies with infinitely lived heterogeneous agents when exact stationarity of beliefs is relaxed. Agents optimize exactly and current markets clear exactly, but the belief used to evaluate continuation values is required only to be з-stationary: the bounded-Lipschitz distance between the belief, a law over states and current outcomes, and its one-period image under the induced transition is at most з. For every strictly positive з, we prove the existence of such an equilibrium under standard compactness, continuity, and concavity assumptions. The proof constructs continuous-density approximately stationary beliefs and combines them with a fixed-point argument over temporary-equilibrium transitions. The stationarity residual is then characterized in three ways: its zero-tolerance limit diagnoses whether an exact recursive equilibrium exists, at fixed tolerance it bounds the gap between the belief-implied and the equilibrium transition, and against an empirical law it is computable from data. 

Competitive Equilibrium in a Networked Exchange Economy (with Steven Kivinen)

We study competitive exchange in an economy where trade is restricted to the links of a fixed network with transaction costs. We define a network competitive equilibrium with link-specific prices and establish existence. In a connected network with no transaction costs, equilibrium allocations and prices coincide with those of the Arrow--Debreu economy, but equilibrium trade flows are generally non-unique. With strictly positive transaction costs, equilibrium flows solve a minimum-cost flow problem for their endogenously induced value vectors. Vanishing transaction costs refine the otherwise indeterminate set of frictionless trade-flow implementations. Finally, we study trade flows in specific environments. 

Work in process

Self-justified momentum and puzzles in macro-finance 

Contact

rgeng@hse.ru

ICEF, High School of Economics