The purpose of the paper is to demonstrate the existence of a time homogeneous stationary equilibrium in an exchange economy with a single consumption commodity, borrowing constraints, a finite number of securities, and a finite number of heterogeneous agents. Agents are infinitely lived and maximize expected value of the sum of discounted utilities of consumption. Equilibrium security prices and agents' portfolio holdings are shown to be time homogeneous functions of the stationary dividend and endowment processes. Fluctuations of equilibrium prices and portfolio holdings across agents are explained by the sample paths of exogenous processes.
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Paper provided by Commission of the EEC - Ecofin, Country Studies in its series Papers with number
148.
Length: 19 pages Date of creation: 1999 Date of revision: Handle: RePEc:fth:eeccou:148
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