Under a gross substitution assumption, we prove existence and uniqueness of competitive equilibrium for an infinite-horizon exchange economy with limited commitment and complete financial markets. Risk-sharing is limited as only a part of the private endowment can be used as collateral to secure debt. The unique equilibrium is Markovian with respect to a minimal state space consisting of exogenous shocks and Negishi's welfare weights. We represent equilibrium dynamics via a monotone operator acting on entire wealth distribution functions. We construct a fixed point of this operator generating a lower and an upper orbit and proving coincidence of accumulation points.

Bloise, G., Citanna, A. (2015). Uniqueness of competitive equilibrium with solvency constraints under gross-substitution. JOURNAL OF MATHEMATICAL ECONOMICS, 61, 287-295 [10.1016/j.jmateco.2015.09.008].

Uniqueness of competitive equilibrium with solvency constraints under gross-substitution

BLOISE, Gaetano;
2015-01-01

Abstract

Under a gross substitution assumption, we prove existence and uniqueness of competitive equilibrium for an infinite-horizon exchange economy with limited commitment and complete financial markets. Risk-sharing is limited as only a part of the private endowment can be used as collateral to secure debt. The unique equilibrium is Markovian with respect to a minimal state space consisting of exogenous shocks and Negishi's welfare weights. We represent equilibrium dynamics via a monotone operator acting on entire wealth distribution functions. We construct a fixed point of this operator generating a lower and an upper orbit and proving coincidence of accumulation points.
2015
Pubblicato
Rilevanza internazionale
Articolo
Esperti anonimi
Settore SECS-P/01 - ECONOMIA POLITICA
English
Competitive equilibrium
Gross substitution
Monotone operator
Solvency constraints
Economics and Econometrics
Applied Mathematics
http://www.elsevier.com/locate/jmateco
Bloise, G., Citanna, A. (2015). Uniqueness of competitive equilibrium with solvency constraints under gross-substitution. JOURNAL OF MATHEMATICAL ECONOMICS, 61, 287-295 [10.1016/j.jmateco.2015.09.008].
Bloise, G; Citanna, A
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/298023
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