The Existence of Equilibrium in a Financial Market with Transaction Costs
AbstractThis paper proves the existence of a general equilibrium in a financial model with transaction costs. A general equilibrium is shown to exist in a model with convex trading technology, in which the agents include consumers, production firms, brokers or dealers. When the trading technology is non-convex, an individual approximate equilibrium, introduced by Heller and Starr (1976) is proved in the above model. And, moreover, under a further assumption of finite p-convexity on the commodity excess demand correspondence, a general equilibrium for a non-convex exchange economy is obtained for an economy with consumers, brokers or dealers.
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Bibliographic InfoPaper provided by Queen's University, Department of Economics in its series Working Papers with number 1084.
Length: 21 pages
Date of creation: Jan 1999
Date of revision:
arbitrage; general equilibrium; transaction cost; individual approximate equilibrium; finite p-convexity;
Other versions of this item:
- Xing Jin & Frank Milne, 1996. "The Existence of Equilibrium in a Financial Market with Transaction Costs," Working Papers 934, Queen's University, Department of Economics.
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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- V. Filipe MARTINS-DA-ROCHA & YIANNIS VAILAKIS, 2008.
"Endogenous Transaction Costs,"
0810, Exeter University, Department of Economics.
- Martins-da-Rocha, Victor Filipe & Vailakis, Yiannis, 2008. "Endogenous Transaction Costs," Economics Working Papers (Ensaios Economicos da EPGE) 680, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.
- Frank Milne & Edwin Neave, 2003. "A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints," Working Papers 1082, Queen's University, Department of Economics.
- Frank Milne & Xing Jin, 2006. "Taxation and Transaction Costs in a General Equilibrium Asset Economy," Working Papers 1111, Queen's University, Department of Economics.
- V. Martins-da-Rocha & Yiannis Vailakis, 2010. "Financial markets with endogenous transaction costs," Economic Theory, Springer, vol. 45(1), pages 65-97, October.
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