Ergodic Markov equilibrium with incomplete markets and short sales

• 成果类型: Article
• 署名作者: Braido, Luis H. B.
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE799
• 发表日期: 2013-01-01
• 页码: 41-57
• 关键词: General equilibrium; incomplete markets; recursive; Markov; stationary; ergodic; EXISTENCE

摘要

This paper studies recursive exchange economies with short sales. Agents maximize discounted expected utility. The asset structure is general and includes real securities, infinite-lived stocks, options, and other derivatives. The main result shows the existence of a competitive equilibrium process that is stationary and has an invariant ergodic measure. Ergodicity is required in finance for time series analysis of structural asset pricing models. This equilibrium property is difficult to obtain when heterogeneous agents can accumulate debt over time. Bounded marginal utility is shown to be a key condition for ergodicity in this setting.