Download or read book Monetary Equilibrium with Heterogeneous Agents and Incomplete Financial Markets written by Jinhui Bai and published by . This book was released on 2006 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Markets Equilibrium with Heterogeneous Agents written by Jakša Cvitanić and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Markets Equilibrium with Heterogeneous Agents written by Jaksa Cvitanic and published by . This book was released on 2015 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption shares, the market price of risk, the risk free rate, the bond prices at different maturities, the stock price and volatility as well as the stockís cumulative returns, and optimal portfolio strategies. We relate the heterogeneous economy with the family of associated homogeneous economies with only one class of investors. We consider cross sectional as well as asymptotic properties.

Download or read book Equilibrium Asset Prices and Savings of Heterogeneous Agents in the Presence of Incomplete Markets and Portfolio Constraints written by Albert Marcet and published by . This book was released on 1998 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences written by and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide results on the existence and uniqueness of equilibrium in dynamically incomplete financial markets in discrete time. Our framework allows for heterogeneous agents, unspanned random endowments and convex trading constraints. In the special case where all agents have preferences of the same type and all random endowments are replicable by trading in the financial market we show that a one-fund theorem holds and give an explicit expression for the equilibrium pricing kernel. If the underlying noise is generated by finitely many Bernoulli random walks, the equilibrium dynamics can be described by a system of coupled backward stochastic difference equations, which in the continuous-time limit becomes a multi-dimensional backward stochastic differential equation. If the market is complete in equilibrium, the system of equations decouples, but if not, one needs to keep track of the prices and continuation values of all agents to solve it. As an example we simulate option prices in the presence of stochastic volatility, demand pressure and short-selling constraints. -- Competitive equilibrium ; incomplete markets ; heterogenous agents ; trading constraints ; backward stochastic difference equations

Download or read book Incomplete Financial Markets and Indeterminacy of Competitive Equilibrium written by David Cass and published by . This book was released on 1991 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On the Role of Paper Money in General Equilibrium Models with Incomplete Markets written by Atsushi Kajii and published by . This book was released on 1991 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Quantitative Macroeconomics with Heterogeneous Households written by Jonathan Heathcote and published by . This book was released on 2009 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macroeconomics is evolving from the study of aggregate dynamics to the study of the dynamics of the entire equilibrium distribution of allocations across individual economic actors. This article reviews the quantitative macroeconomic literature that focuses on household heterogeneity, with a special emphasis on the "standard" incomplete markets model. We organize the vast literature according to three themes that are central to understanding how inequality matters for macroeconomics. First, what are the most important sources of individual risk and cross-sectional heterogeneity? Second, what are individuals' key channels of insurance? Third, how does idiosyncratic risk interact with aggregate risk?

Download or read book Equilibrium with Restricted Participation on Incomplete Financial Markets written by Paolo Siconolfi and published by . This book was released on 1986 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book General Economic Equilibrium with Financial Markets and Retainability written by Alejandro Jofre and published by . This book was released on 2014 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: A theory of general economic equilibrium with incomplete financial markets is developed with many new features, including currency-denominated prices which enable treatment of currency-based derivative instruments and collateralized contracts. Prices in such models with standard market structure have previously been articulated only in "units of account" which have no link to an actual currency and are subject to indeterminancy in scaling. That shortcoming, which prevents ordinary price comparisons between different states, present and future, has stemmed from a focus on consumption as the sole source of economic value, but here retention of goods is allowed to influence their utility as well.The "goods" are not just commodities and thus can encompass other elements essential to finance. The framework is that of an economy operating in a currency agents find attractive to retain, in balance with other needs. The attractiveness comes from Keynesian considerations about uncertainty which until now have not been brought in. An altered view of time and states helps by loosening the grip of perfect foresight in future markets. Existence is established with a single currency denominating the units of account in all states, and price indeterminancy is thereby removed. All contracts issued in the financial markets can be interpreted then as "real contracts." Endogenously generated transaction costs on sales of contracts keep the financial markets from getting out of hand and lead to bid-ask spreads, including a gap between interest rates for lending and borrowing money. To this end, equilibrium is given a variational formulation that brings fresh tools to the subject. A different way of proving existence in that setting, not merely in a generic sense and without normalizing to a price simplex or arbitrarily fixing "price levels" in the future states, makes use of duality bounds for the budget constraints. In the currency framework of the model, the proof of equilibrium is able moreover to proceed under far weaker assumptions than usual on the agents' preferences and endowments.

Download or read book Monetary Equilibrium with Production and Incomplete Markets written by Syamal Kumar Sarkar and published by . This book was released on 1991 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Monetary Equilibria in a Cash in Advance Economy with Incomplete Financial Markets written by Jinhui H. Bai and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The general equilibrium model with incomplete financial markets (GEI) is extended by adding fiat money, fiscal and monetary policy and a cash-in-advance constraint. The central bank either pegs the interest rate or money supply while the fiscal authority sets a Ricardian or a non-Ricardian fiscal plan. We prove the existence of equilibria in all four scenarios. In Ricardian economies, the conditions required for existence are not more restrictive than in standard GEI. In non-Ricardian economies, the sufficient conditions for existence are more demanding. In the Ricardian economy, neither the price level nor the equivalent martingale measure are determinate.

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 Perfect Equilibrium with Incomplete Financial Markets written by David Cass and published by . This book was released on 1988 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Competitive Equilibrium with Incomplete Financial Markets written by David Cass and published by . This book was released on 1984 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Theory of Incomplete Markets written by Michael Magill and published by . This book was released on 1998 with total page 540 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On the number of Equilibrium Allocations with Incomplete Financial Markets written by David Cass and published by . This book was released on 1985 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: