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Stationary Equilibria with Incomplete Markets and Overlapping Generations

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Author Info
Cass, David
Green, Richard C
Spear, Stephen E

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Abstract

Recent work on general equilibrium models with incomplete financial markets has demonstrated that when assets pay off in units of account, equilibrium prices and allocations are indeterminate. The equilibria in such models are also generically constrained suboptimal. A central planner can typically reallocate assets in such a way as to Pareto dominate the competitive equilibrium. In this paper, the authors consider an overlapping generations model with incomplete markets in which one asset is fiat money. They show that when outside money has value in equilibrium, the stationary equilibrium prices and allocations are both locally isolated and constrained optimal. Copyright 1992 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

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Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 33 (1992)
Issue (Month): 3 (August)
Pages: 495-512
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Handle: RePEc:ier:iecrev:v:33:y:1992:i:3:p:495-512

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  1. Antonio Jiménez-Martínez & Subir Chattopadhyay, 2000. "The Unit Root Property When Markets Are Sequentially Incomplete," Working Papers. Serie AD 2000-32, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  2. Alessandro Citanna & Paolo Siconolfi, 2008. "On the nonexistence of recursive equilibrium in stochastic OLG economies," Economic Theory, Springer, vol. 37(3), pages 417-437, December. [Downloadable!] (restricted)
  3. Subir Chattopadhyay, 2001. "Long-Lived Assets, Incomplete Markets, And Optimality," Working Papers. Serie AD 2001-10, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  4. Piero Gottardi & Subir Chattopadhyay, 1999. "- Stochastic Olg Models, Market Structure And Optimality," Working Papers. Serie AD 1999-15, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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