EXISTENCE OF STATIONARY EQUILIBRIUM IN AN INCOMPLETE-MARKET MODEL WITH ENDOGENOUS LABOR SUPPLY

• 成果类型: Article
• 署名作者: Zhu, Shenghao
• 署名单位: University of International Business & Economics
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12451
• 发表日期: 2020
• 页码: 1115-1138
• 关键词: liquidity constraints; stochastic stability; income; consumption; economies

摘要

In this article, I first study an income fluctuation problem with endogenous labor supply. Let beta be the agent's time discount factor and R>0 be the constant gross rate of return on assets. For beta R=1, I show that the agent's wealth either approaches infinity almost surely or converges to a finite level almost surely. For beta R<1, I prove the existence, uniqueness, and stability of the stationary distribution of state variables. I then show the existence of the stationary general equilibrium in an incomplete-market model with endogenous labor supply.