Multiplicity in general financial equilibrium with portfolio constraints

• 成果类型: Article
• 署名作者: Basak, Suleyman; Cass, David; Licari, Juan Manuel; Pavlova, Anna
• 署名单位: University of Pennsylvania; University of London; London Business School
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2006.08.007
• 发表日期: 2008
• 页码: 100-127
• 关键词: Multiple equilibria; asset pricing; Portfolio constraints; indeterminacy; general financial equilibrium (GFE)

摘要

This paper explores the role of portfolio constraints in generating multiplicity of equilibrium. We present a simple financial market economy with two goods and two households, households who face constraints on their ability to take unbounded positions in risky stocks. Absent such constraints, equilibrium allocation is unique and is Pareto efficient. With one portfolio constraint in place, the efficient equilibrium is still possible; however, additional inefficient equilibria in which the constraint is binding may emerge. We show further that with portfolio constraints cum incomplete markets, there may be a continuum of equilibria; adding incomplete markets may lead to real indeterminacy. (C) 2006 Elsevier Inc. All rights reserved.