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Non-Existence of Recursive Equilibria on Compact State Spaces When Markets are Incomplete

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Paper provided by Brown University, Department of Economics in its series Working Papers with number 2002-17.

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Date of creation: 2002
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Handle: RePEc:bro:econwp:2002-17

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Postal: Department of Economics, Brown University, Providence, RI 02912

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  1. Thomas, Jonathan & Worrall, Tim, 1990. "Income fluctuation and asymmetric information: An example of a repeated principal-agent problem," Journal of Economic Theory, Elsevier, Elsevier, vol. 51(2), pages 367-390, August.
  2. Atkeson, Andrew & Lucas, Robert E, Jr, 1992. "On Efficient Distribution with Private Information," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 59(3), pages 427-53, July.
  3. Magill, M. & Quinzii, M., 1993. "Infinite Horizon Incomplete Markets," Papers, Southern California - Department of Economics 9320, Southern California - Department of Economics.
  4. David K. Levine & William Zame, 1996. "Debt Constraints and Equilibrium in Infinite Horizon Economies with Incomplete Markets," Levine's Working Paper Archive 1954, David K. Levine.
  5. Hart, Oliver D., 1974. "On the existence of equilibrium in a securities model," Journal of Economic Theory, Elsevier, Elsevier, vol. 9(3), pages 293-311, November.
  6. Felix Kubler & Karl Schmedders, 2003. "Generic inefficiency of equilibria in the general equilibrium model with incomplete asset markets and infinite time," Economic Theory, Springer, Springer, vol. 22(1), pages 1-15, 08.
  7. Heaton, John & Lucas, Deborah J, 1996. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 104(3), pages 443-87, June.
  8. Magill, M. & Quinzii, M., 1993. "Icomplete Markets Over an Infinite Horizon: Long-Lived Securities and Speculative Bubbles," Papers, Southern California - Department of Economics 9321, Southern California - Department of Economics.
  9. Hernandez D., Alejandro & Santos, Manuel S., 1996. "Competitive Equilibria for Infinite-Horizon Economies with Incomplete Markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 71(1), pages 102-130, October.
  10. Manuel S. Santos & Michael Woodford, 1997. "Rational Asset Pricing Bubbles," Econometrica, Econometric Society, Econometric Society, vol. 65(1), pages 19-58, January.
  11. Huggett, Mark, 1993. "The risk-free rate in heterogeneous-agent incomplete-insurance economies," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 17(5-6), pages 953-969.
  12. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, Econometric Society, vol. 46(6), pages 1429-45, November.
  13. Becker, Robert & Zilcha, Itzhak, 1997. "Stationary Ramsey Equilibria under Uncertainty," Journal of Economic Theory, Elsevier, Elsevier, vol. 75(1), pages 122-140, July.
  14. Gary Chamberlain & Charles A. Wilson, 2000. "Optimal Intertemporal Consumption Under Uncertainty," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(3), pages 365-395, July.
  15. S. Rao Aiyagari, 1993. "Uninsured idiosyncratic risk and aggregate saving," Working Papers, Federal Reserve Bank of Minneapolis 502, Federal Reserve Bank of Minneapolis.
  16. Duffie, Darrell, et al, 1994. "Stationary Markov Equilibria," Econometrica, Econometric Society, Econometric Society, vol. 62(4), pages 745-81, July.
  17. Per Krusell & Anthony A. Smith, Jr., . "Income and Wealth Heterogeneity in the Macroeconomy," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 1997-37, Carnegie Mellon University, Tepper School of Business.
  18. Kubler, Felix & Schmedders, Karl, 2002. "Recursive Equilibria In Economies With Incomplete Markets," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 6(02), pages 284-306, April.
  19. Radner, Roy, 1972. "Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets," Econometrica, Econometric Society, Econometric Society, vol. 40(2), pages 289-303, March.
  20. Kehoe, Timothy J & Levine, David K, 2001. "Liquidity Constrained Markets versus Debt Constrained Markets," Econometrica, Econometric Society, Econometric Society, vol. 69(3), pages 575-98, May.
  21. Spear, Stephen E., 1985. "Rational expectations in the overlapping generations model," Journal of Economic Theory, Elsevier, Elsevier, vol. 35(2), pages 251-275, August.
  22. Santos, Manuel S., 2002. "On Non-existence of Markov Equilibria in Competitive-Market Economies," Journal of Economic Theory, Elsevier, Elsevier, vol. 105(1), pages 73-98, July.
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