52 citations · 119 across the 24 of their papers we have counts for
27 papers
Risk Sensitivity and Stationary Equilibrium in Incomplete Markets
Qingyin Ma, John Stachurski, Bin Wu
We study stationary equilibrium and comparative statics in an incomplete market economy with risk-sensitive preferences. We prove that a stationary equilibrium exists for every non…
Monotone Mixing and Distribution Dynamics
Takashi Kamihigashi, Qingyin Ma, John Stachurski
Many economic applications establish stability of Markov dynamics using the monotone mixing condition (MMC) of Hopenhayn and Prescott (1992). Working in the same setting as that pa…
Rare States and Long-Run Pricing
Ye Lu, John Stachurski
Macroeconomic crises are rare, yet they can have large effects on asset prices. Because the probability of entering a crisis from normal times is small relative to the probability…
A New Approach to Goodness of Fit for Ergodic Markov Processes
Vance Martin, Yoshihiko Nishiyama, John Stachurski +1
We introduce a new density-based goodness of fit test for ergodic Markov processes. Our test compares the data against the class of models specified in the null hypothesis, and rej…
Stationary Distributions in Monotone Markov Models: Theory and Applications
Takashi Kamihigashi, John Stachurski
Many economic models feature monotone Markov dynamics on state spaces that may be noncompact. Establishing existence, uniqueness, and stability of stationary distributions in such…
Dynamic Programming: From Local Optimality to Global Optimality
John Stachurski, Jingni Yang, Ziyue Yang
In the theory of dynamic programming, an optimal policy is a policy whose lifetime value dominates that of all other policies from every possible initial condition in the state spa…
A Unified Stability Theory for Classical and Monotone Markov Chains
Takashi Kamihigashi, John Stachurski
This paper integrates two strands of the literature on stability of general state Markov chains: conventional, total variation based results and more recent order-theoretic results…
Partial Stochastic Dominance via Optimal Transport
Takashi Kamihigashi, John Stachurski
In recent years, a range of measures of partial stochastic dominance have been introduced. These measures attempt to determine the extent to which one distribution is dominated by…
Quantitative Convergence Rates for Stochastically Monotone Markov Chains
Takashi Kamihigashi, John Stachurski
For Markov chains and Markov processes exhibiting a form of stochastic monotonicity (larger states shift up transition probabilities in terms of stochastic dominance), stability an…
Dynamic Programming: Finite States
Thomas J. Sargent, John Stachurski
This book is about dynamic programming and its applications in economics, finance, and adjacent fields. It brings together recent innovations in the theory of dynamic programming a…
Interest Rate Dynamics and Commodity Prices
Christophe Gouel, Qingyin Ma, John Stachurski
In economic studies and popular media, interest rates are routinely cited as a major factor behind commodity price fluctuations. At the same time, the transmission channels are far…
Dynamic Programs on Partially Ordered Sets
Thomas J. Sargent, John Stachurski
We introduce a framework that represents a dynamic program as a family of operators acting on a partially ordered set. We provide an optimality theory based only on order-theoretic…
Unique Solutions to Power-Transformed Affine Systems
John Stachurski, Ole Wilms, Junnan Zhang
Systems of the form arise in a range of economic, financial and control problems, where is a linear operator acting on a space of real-valued functions…
Economic Networks: Theory and Computation
Thomas J. Sargent, John Stachurski
This textbook is an introduction to economic networks, intended for students and researchers in the fields of economics and applied mathematics. The textbook emphasizes quantitativ…
Systemic Risk in Financial Systems: Properties of Equilibria
John Stachurski
Eisenberg and Noe (2001) analyze systemic risk for financial institutions linked by a network of liabilities. They show that the solution to their model is unique when the financia…
Unbounded Dynamic Programming via the Q-Transform
Qingyin Ma, John Stachurski, Alexis Akira Toda
We propose a new approach to solving dynamic decision problems with unbounded rewards based on the transformations used in Q-learning. In our case, the objective of the transform i…
Dynamic Optimal Choice When Rewards are Unbounded Below
Qingyin Ma, John Stachurski
We propose a new approach to solving dynamic decision problems with rewards that are unbounded below. The approach involves transforming the Bellman equation in order to convert an…
Firm Entry and Exit with Unbounded Productivity Growth
John Stachurski
In Hopenhayn's (1992) entry-exit model productivity is bounded, implying that the predicted firm size distribution cannot match the power law tail observable in the data. In this p…
Stability of Equilibrium Asset Pricing Models: A Necessary and Sufficient Condition
Jaroslav Borovicka, John Stachurski
We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments.…
Coase Meets Bellman: Dynamic Programming for Production Networks
Tomoo Kikuchi, Kazuo Nishimura, John Stachurski +1
We show that competitive equilibria in a range of models related to production networks can be recovered as solutions to dynamic programs. Although these programs fail to be contra…
Dynamic Programming with State-Dependent Discounting
John Stachurski, Junnan Zhang
This paper extends the core results of discrete time infinite horizon dynamic programming to the case of state-dependent discounting. We obtain a condition on the discount factor p…
The Income Fluctuation Problem and the Evolution of Wealth
Qingyin Ma, John Stachurski, Alexis Akira Toda
We analyze the household savings problem in a general setting where returns on assets, non-financial income and impatience are all state dependent and fluctuate over time. All thre…
The Income Fluctuation Problem with Capital Income Risk: Optimality and Stability
Qingyin Ma, John Stachurski, Alexis Akira Toda
This paper studies the income fluctuation problem with capital income risk (i.e., dispersion in the rate of return to wealth). Wealth returns and labor earnings are allowed to be s…
Dynamic Programming with Recursive Preferences: Optimality and Applications
Guanlong Ren, John Stachurski
This paper provides new conditions for dynamic optimality in discrete time and uses them to establish fundamental dynamic programming results for several commonly used recursive pr…