Computing equilibria when asset markets are incomplete.
Existence of equilibrium with incomplete markets is problematic because demand functions are typically not continuous. Discontinuities occur at prices for which a marketed asset suddenly becomes redundant. We show that this discontinuity disappears if we allow an agent in the economy to introduce a...
| Publicado en: | Econometrica Vol. 64; pp. 1 - 28 |
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| Autores principales: | , , |
| Formato: | Artículo |
| Publicado: |
Wiley-Blackwell
January 1996
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=512728131&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 512728131 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00129682 ECN jtl: Econometrica issn: 00129682 maglogo: N pubinfo: dt: January 1996 vid: 64 pid: 480 pub: Wiley-Blackwell artinfo: ui: 512728131 10.2307/2171922 ppf: 1 ppct: 27 formats: tig: atl: Computing equilibria when asset markets are incomplete. aug: au: Brown, Donald J. DeMarzo, Peter M. Eaves, B. Curtis su: Economic equilibrium Assets (Accounting) Pricing Algorithms sug: subj: Economic equilibrium Assets (Accounting) Pricing Algorithms keyword: Asset pricing theory ab: Existence of equilibrium with incomplete markets is problematic because demand functions are typically not continuous. Discontinuities occur at prices for which a marketed asset suddenly becomes redundant. We show that this discontinuity disappears if we allow an agent in the economy to introduce a new asset when such redundancies occur. This enables us to prove existence with incomplete markets using a standard path-following argument. Hence, available algorithms for path-following in |WbR[|WB]K can be applied to compute equilibria in the GEI case. We demonstrate this by computing equilibrium for a numerical example. Reprinted by permission of the Econometric Society. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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