A New Survival Condition for Equilibrium with Financial Derivatives in Constrained Asset Markets
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
The survival assumption that agents can live under autarky before coming to markets alone does not guarantee the exchange economy to attain equilibrium. McKenzie (1959) shows that it becomes sufficient for the existence of competitive equilibrium in classical general equilibrium models where the economy is irreducible. This paper provides a new survival assumption to show the existence of equilibrium in incomplete asset markets where portfolio choices are possibly constrained by institutional or legal restrictions. The new condition is motivated by a very simple example where the economy violates the existing survival conditions of the literature but has equilibrium that allows agents to possess positive income in each contingency of the future.
Abstract
The survival assumption that agents can live under autarky before coming to markets alone does not guarantee the exchange economy to attain equilibrium. McKenzie (1959) shows that it becomes sufficient for the existence of competitive equilibrium in classical general equilibrium models where the economy is irreducible. This paper provides a new survival assumption to show the existence of equilibrium in incomplete asset markets where portfolio choices are possibly constrained by institutional or legal restrictions. The new condition is motivated by a very simple example where the economy violates the existing survival conditions of the literature but has equilibrium that allows agents to possess positive income in each contingency of the future.
참고문헌 (8)
- Geanakoplos, J., "Existence, Regularity and Constrained Suboptimality of Competitive Allocations When the Asset Markets are Incomplete, In Uncertainty, Information, and Communication : Essays in Honor of Kenneth Arrow, Vol. 3" (1986), Cambridge University Press
- Gottardi, P., "The Survival Assumption and Existence of Competitive Equilibria When Asset Markets are Incomplete", Journal of Economic Theory, 71(2), pp.313~323 (1996)
- 원동철, "EQUILIBRIUM IN FINANCIAL MARKETS WITH MARKET FRICTIONS", The Korean Economic Review, 23(2), pp.267~302 (2007), 한국경제학회
- 한광석, "Survival, Arbitrage, and Equilibrium with Financial Derivatives in Constrained Asset Markets", Seoul Journal of Economics, 25(4), pp.441~461 (2012), 경제연구소
- "Equilibrium Theory with Link Portfolios" (2012)[URL]
- McKenzie, L., "On the Existence of General Equilibrium for a Competitive Market", Econometrica, 27(1), pp.54~57 (1959)
- McKenzie, L., "The Classical Theorem on Existence of Competitive Equilibrium", Econometrica, 49(4), pp.819~841 (1981)
- Rockafellar, R., "Convex Analysis" (1970), Princeton University Press