کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
957263 | 928518 | 2008 | 28 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Multiplicity in general financial equilibrium with portfolio constraints
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper explores the role of portfolio constraints in generating multiplicity of equilibrium. We present a simple financial market economy with two goods and two households, households who face constraints on their ability to take unbounded positions in risky stocks. Absent such constraints, equilibrium allocation is unique and is Pareto efficient. With one portfolio constraint in place, the efficient equilibrium is still possible; however, additional inefficient equilibria in which the constraint is binding may emerge. We show further that with portfolio constraints cum incomplete markets, there may be a continuum of equilibria; adding incomplete markets may lead to real indeterminacy.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Theory - Volume 142, Issue 1, September 2008, Pages 100–127
Journal: Journal of Economic Theory - Volume 142, Issue 1, September 2008, Pages 100–127
نویسندگان
Suleyman Basak, David Cass, Juan Manuel Licari, Anna Pavlova,