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Infinite Horizon Incomplete Markets

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Author Info

  • Magill, M.
  • Quinzii, M.

Abstract

This paper extends the general equilibrium model with incomplete markets to an open-ended future, thereby providing a natural setting for analyzing problems in macroeconomics. Two concepts of equilibrium are defined that prevent agents from entering into Ponzi schemes: the first is based on debt constraints and the second is based on a transversality condition that limits the rate of growth of debt. Under the assumption that agents are impatient (Mackey continuity of preferences) and have a degree of impatience that is bounded below, the two concepts of equilibrium are shown to coincide and lead to existence of equilibrium. Copyright 1994 by The Econometric Society.

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Bibliographic Info

Paper provided by DELTA (Ecole normale supérieure) in its series DELTA Working Papers with number 92-26.

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Length: 47 pages
Date of creation: 1992
Date of revision:
Publication status: Published in Econometrica, 1994, vol. 62, pp. 853-880
Handle: RePEc:del:abcdef:92-26

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Keywords: pricing ; financial market;

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