Download or read book Essays in General Equilibrium with Incomplete Financial Markets written by Tito Pietra and published by . This book was released on 1989 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on General Equilibrium Models with Incomplete Markets and Production written by Eva Cárceles Poveda and published by . This book was released on 2005 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Markets Information and Uncertainty written by Kenneth Joseph Arrow and published by Cambridge University Press. This book was released on 1999-01-28 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: Leading theorists offer insights on the role of uncertainty and information in the market.

Download or read book Essays in Dynamic General Equilibrium written by Dân Vuʺ Cao and published by . This book was released on 2010 with total page 202 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three chapters studying dynamic economies in general equilibrium. The first chapter considers an economy in business cycles with potentially imperfect financial markets. The second chapter investigates an economy in its balanced growth path with heterogeneous firms. The third chapter analyzes dynamic competitions that these firms are potentially engaged in. The first chapter, "Asset Price and Real Investment Volatility with Heterogeneous Beliefs," sheds light on the role of imperfect financial markets on the economic and financial crisis 2007-2008. This crisis highlights the role of financial markets in allowing economic agents, including prominent banks, to speculate on the future returns of different financial assets, such as mortgage-backed securities. I introduce a dynamic general equilibrium model with aggregate shocks, potentially incomplete markets and heterogeneous agents to investigate this role of financial markets. In addition to their risk aversion and endowments, agents differ in their beliefs about the future aggregate states of the economy. The difference in beliefs induces them to take large bets under frictionless complete financial markets, which enable agents to leverage their future wealth. Consequently, as hypothesized by Friedman (1953), under complete markets, agents with incorrect beliefs will eventually be driven out of the markets. In this case, they also have no influence on asset prices and real investment in the long run. In contrast, I show that under incomplete markets generated by collateral constraints, agents with heterogeneous (potentially incorrect) beliefs survive in the long run and their speculative activities drive up asset price volatility and real investment volatility permanently. I also show that collateral constraints are always binding even if the supply of collateralizable assets endogenously responds to their price. I use this framework to study the effects of different types of regulations and the distribution of endowments on leverage, asset price volatility and investment. Lastly, the analytical tools developed in this framework enable me to prove the existence of the recursive equilibrium in Krusell and Smith (1998) with a finite number of types. This has been an open question in the literature. The second chapter, "Innovation from Incumbents and Entrants," is a joint work with Daron Acemoglu. We propose a simple modification of the basic Schumpeterian endogenous growth models, by allowing incumbents to undertake innovations to improve their products. This model provides a tractable framework for a simultaneous analysis of entry of new firms and the expansion of existing firms, as well as the decomposition of productivity growth between continuing establishments and new entrants. One lesson we learn from this analysis is that, unlike in the basic Schumpeterian models, taxes or entry barriers on potential entrants might increase economic growth. It is the outcome of the greater productivity improvements by incumbents in response to reduced entry, which outweighs the negative effect of the reduction in creative destruction. As the model features entry of new firms and expansion and exit of existing firms, it also generates an equilibrium firm size distribution. We show that the stationary firm size distribution is Pareto with an exponent approximately equal to one (the so-called "Zipf distribution"). The third chapter, "Racing: when should we handicap the advantaged competitor?" studies dynamic competitions, for example R & D competitions used in the second chapters. Two competitors with different abilities engage in a winner-take-all race; should we handicap the advantaged competitor in order to reduce the expected completion time of the race? I show that if the discouragement effect is strong, i.e., both competitors are discouraged from exerting effort when it becomes more certain who will win the race, we should handicap the advantaged. We can handicap him either by reducing his ability or by offering him a lower reward if he wins. Doing so induces higher effort not only from the disadvantaged competitor because of his higher incentive from a higher chance of winning the race but also from the advantaged competitor because of their strategic interactions. Therefore, the expected completion time is strictly shortened. To prove the existence and uniqueness of the equilibria (including symmetric and asymmetric equilibria) that leads to the conclusion, I use a boundary value problem formulation which is novel to the dynamic competition literature. In some cases, I obtain closed-form solutions of the equilibria.

Download or read book Three Essays on General Equilibrium Models with Imperfect Financial Markets written by Marcos de Barros Lisboa and published by . This book was released on 1996 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on General Equilibrium Models with Imperfest Financial Markets written by Paolo Siconolfi and published by . This book was released on 1987 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Theory of Incomplete Markets written by Michael Magill and published by MIT Press. This book was released on 2002 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theory of incompl. markets/M. Magill, M. Quinzii. - V.1.

Download or read book Essay on general equilibrium in financial markets written by Bernd Schroeder and published by . This book was released on 1991 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Dynamic General Equilibrium Theory written by Alessandro Citanna and published by Springer Science & Business Media. This book was released on 2006-01-11 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the area of dynamic economics, David Cass’s work has spawned a number of important lines of research, including the study of dynamic general equilibrium theory, the concept of sunspot equilibria, and general equilibrium theory when markets are incomplete. Based on these contributions, this volume contains new developments in the field, written by Cass's students and co-authors.

Download or read book Equilibrium Markets and Dynamics written by Cars H. Hommes and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains essays in honour of Claus Weddepohl who, after 22 years, is retiring as professor of mathematical economics at the Department of Quantitative Economics of the University of Amsterdam. Claus Weddepohl may be viewed as th~ first Dutch mathematical economist in the general equi librium tradition of Arrow, Debreu and Hahn. The essays in this book are centered around the themes Equilibrium, Markets and Dynamics, that have been at the heart of Weddepohl's work on mathematical economics for more than three decades. The essays have been classified according to these three themes. Admittedly such a classification always is somewhat arbitrary, and most essays would in fact fit into two or even all three themes. The essays have been written by international as well as Dutch friends and colleagues including Weddepohl's former Ph. D. students. The book starts with a review of Claus Weddepohl's work by Roald Ramer, who has been working with him in Amsterdam for all those years. The review describes how Weddepohl became fascinated by general equilibrium theory in the early stages of his career, how he has been working on the theory of markets throughout his career, and how he turned to applications of nonlinear dynamics to price adjustment processes in a later stage of his career. The first part of the book, Equilibrium, collects essays with general equilib rium theory as the main theme.

Download or read book General Equilibrium Growth and Trade written by Jerry R. Green and published by Academic Press. This book was released on 2014-05-10 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: General Equilibrium, Growth, and Trade: Essays in Honor of Lionel McKenzie provides information pertinent to the three main areas of Professor McKenzie's scientific research, namely, international trade, economic growth, and general equilibrium theory. This book highlights the main aspects of McKenzie's work. Organized into three parts encompassing 21 chapters, this book begins with an overview of the regularizing effects of aggregation over nonregular microrelations. This text then examines the theory of a multiperiod monopolist incurring nonseparable labor adjustment costs, which is developed when investment is irreversible. Other chapters consider the behavior of a price-maker in a competitive market as a preliminary step to a more complete analysis of pure competition. This book discusses as well the effects of uncertainty on optimal decisions, which constitutes an increasingly essential area of economic research. The final chapter deals with the general equilibrium macroeconomic model. This book is a valuable resource for economists and economic theorists.

Download or read book General Equilibrium and Endogenously Incomplete Financial Markets written by Alberto Bisin and published by . This book was released on 1994 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Indeterminacy in General Equilibrium Economies with Incomplete Financial Markets written by Tito Pietra and published by . This book was released on 1989 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book General Equilibrium Theory with Asymmetric Information and Incomplete Financial Markets written by Lionel Jean De Boisdeffre and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Uninsured Income Risk Lumpy Investment and Aggregate Demand written by Nathan Gaspar Zorzi and published by . This book was released on 2020 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three chapters on uninsured income risk, lumpy investment and aggregate demand. The first chapter analyzes the non-linear response of durable spending to income shocks. Empirically, the average marginal propensity to spend (MPC) on durable goods increases with the size of income changes. I investigate whether a canonical model of lumpy durable investment with incomplete markets can replicate this fact. I first clarify analytically the source of non-linearity in this model, and I show that its sign depends on the relative strength of the extensive and intensive margins of durable adjustment. In numerical exercises, I find that the extensive margin dominates quantitatively, so that the model generates the form of non-linearity observed in the data. However, the magnitudes predicted by this canonical model are substantially lower than their empirical counterparts. I suggest various avenues to improve the quantitative performance of the model. The second chapter investigates the general equilibrium implications of this form of nonlinearity. I recognize that durable spending is strongly pro-cyclical, that workers employed in durable sectors have a more cyclical labor income than those employed in nondurable sectors, and that workers are imperfectly insured against these fluctuations. In turn, the average MPC on durables increases with income changes, so that this redistribution of labor incomes across sectors has aggregate effects. To formalize and quantify this mechansim, I develop a heterogeneous agent New Keynesian (HANK) model with multiple sectors and lumpy durable adjustment. There is no labor mobility between sectors and financial markets are incomplete, so that durable workers are more exposed to aggregate shocks. I first show analytically that the interaction between cyclical investment and redistribution amplifies the aggregate response of durable spending during booms and dampens it during recessions. I then quantify the importance of this mechanism using my structural model. The third chapter focuses on the cyclical reallocation of workers across sectors or occupations. Specifically, I explore how uninsured income risk and liquidity frictions can hinder the efficient matching between workers and occupations. I investigate this question in a continuous-time Lucas-Prescott economy with incomplete markets. In this setting, uninsured income risk induces labor misallocation across occupations through two channels. First, it reduces workers’ incentives to search (ex ante) for an occupation where they have a strong comparative advantage. Second, it induces excess separation (ex post) by forcing productive households to leave their occupation when their liquidity buffers are depleted. In general equilibrium, labor misallocation exacerbates endogeneously the effect of uninsured income risk, by depressing the value of equity that workers use as liquidity buffers

Download or read book Competitive Equilibrium with Incomplete Financial Markets written by David Cass (deceased) and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is my classic paper, written in early 1984, concerning existence and optimality in general financial equilibrium with incomplete markets for nominal assets, just now being published in a special issue of the Journal of Mathematical Economics.

Download or read book Essays in Honor of Kenneth J Arrow Volume 3 Uncertainty Information and Communication written by Walter P. Heller and published by Cambridge University Press. This book was released on 1986-09-26 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third in a series of volumes published in honour of Professor Kenneth J. Arrow, each covering a different area of economic theory.