Survival, Arbitrage, and Equilibrium with Financial Derivatives in Constrained Asset Markets
2
조회
0
다운로드
3
인용
0
참고문헌
키워드
초록
Survival conditions ensure the presence of consumptions that cost less than the total contingent income of agents in general equilibrium models. These conditions are generally fulfilled in competitive equilibrium. This paper shows the existence of equilibrium for incomplete-market economies where individuals' asset holdings are subject to portfolio constraints by introducing a new survival condition. Based on McKenzie's irreducibility assumption, Gottardi and Hens (1996) provide the GEI irreducibility condition for the existence of equilibrium in unconstrained asset markets. The GEI irreducibility condition, however, leaves no room for redundant assets such as financial derivatives simply because they do not contribute to the creation of risk-sharing opportunities in unconstrained asset markets. Thus, such condition is no longer valid in constrained asset markets where redundant assets are empowered to affect the financial ability of agents to possess `cheaper' consumptions in equilibrium. This paper extends the irreducibility assumption of Gottardi and Hens (1996) to constrained asset markets by considering the capability of financial derivatives to create intertemporal income transfers.
Abstract
Survival conditions ensure the presence of consumptions that cost less than the total contingent income of agents in general equilibrium models. These conditions are generally fulfilled in competitive equilibrium. This paper shows the existence of equilibrium for incomplete-market economies where individuals' asset holdings are subject to portfolio constraints by introducing a new survival condition. Based on McKenzie's irreducibility assumption, Gottardi and Hens (1996) provide the GEI irreducibility condition for the existence of equilibrium in unconstrained asset markets. The GEI irreducibility condition, however, leaves no room for redundant assets such as financial derivatives simply because they do not contribute to the creation of risk-sharing opportunities in unconstrained asset markets. Thus, such condition is no longer valid in constrained asset markets where redundant assets are empowered to affect the financial ability of agents to possess `cheaper' consumptions in equilibrium. This paper extends the irreducibility assumption of Gottardi and Hens (1996) to constrained asset markets by considering the capability of financial derivatives to create intertemporal income transfers.
참고문헌 (9)
- Aouani, Z., "Reduced Equivalent Form of a Financial Structure", Journal of Mathematical Economics, 47(3), pp.318~327 (2011)
- 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)
- Hahn, G., "Constrained Asset Markets", the Spring 2008 Conference in Honor (2008), University of Illinois at Urbana-Champaign
- 한광석, "A Note on Equilibrium in Constrained Incomplete Markets with Non-Ordered Preferences", JOURNAL OF ECONOMIC THEORY AND ECONOMITRICS, 22(1), pp.58~72, Korean Economic Society
- Luttmer, E.G.J., "Asset Pricing in Economies with Frictions", Econometrica, 64(6), pp.1439~1467 (1996)
- Magill, M., "Incomplete Markets, In Handbook of Mathematical Economics", pp.1523~1614 (1991), North Holland
- McKenzie, L., "On the Existence of General Equilibrium for a Competitive Market", Econometrica, 27(1), pp.54~71 (1959)
- 박윤식, "The Role of Financial Innovations in the Current Global Financial Crisis", Seoul Journal of Economics, 22(2), pp.123~144 (2009), 경제연구소
- Equilibrium with Asymmetric Constraints on Portfolio Holdings and Incomplete Financial Markets, "Siconolfi, P.", University of Pennsylvania, ~, pp.CARESS Working Paper 86-21 (1986)