Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/150184
Authors: 
Braido, Luis H. B.
Year of Publication: 
2013
Citation: 
[Journal:] Theoretical Economics [ISSN:] 1555-7561 [Volume:] 8 [Year:] 2013 [Issue:] 1 [Pages:] 41-57
Abstract: 
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.
Subjects: 
General equilibrium
incomplete markets
recursive
markov
stationary
ergodic
existence
JEL: 
D52
D80
D90
G10
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Article

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