Artikel

Ergodic Markov equilibrium with incomplete markets and short sales

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.

Language
Englisch

Bibliographic citation
Journal: Theoretical Economics ; ISSN: 1555-7561 ; Volume: 8 ; Year: 2013 ; Issue: 1 ; Pages: 41-57 ; New Haven, CT: The Econometric Society

Classification
Wirtschaft
Incomplete Markets
Information, Knowledge, and Uncertainty: General
Micro-Based Behavioral Economics: General‡
General Financial Markets: General (includes Measurement and Data)
Subject
General equilibrium
incomplete markets
recursive
markov
stationary
ergodic
existence

Event
Geistige Schöpfung
(who)
Braido, Luis H. B.
Event
Veröffentlichung
(who)
The Econometric Society
(where)
New Haven, CT
(when)
2013

DOI
doi:10.3982/TE799
Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

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Object type

  • Artikel

Associated

  • Braido, Luis H. B.
  • The Econometric Society

Time of origin

  • 2013

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