Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/150184 
Autor:innen: 
Erscheinungsjahr: 
2013
Quellenangabe: 
[Journal:] Theoretical Economics [ISSN:] 1555-7561 [Volume:] 8 [Issue:] 1 [Publisher:] The Econometric Society [Place:] New Haven, CT [Year:] 2013 [Pages:] 41-57
Verlag: 
The Econometric Society, New Haven, CT
Zusammenfassung: 
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.
Schlagwörter: 
General equilibrium
incomplete markets
recursive
markov
stationary
ergodic
existence
JEL: 
D52
D80
D90
G10
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by-nc Logo
Dokumentart: 
Article

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.