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Credit and Cash-in-Advance in Disequilibrium Models

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Author Info
Sander van der Hoog

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Abstract

An agent-based computational model is studied with a sequential market structure. We consider a stationary exchange economy with trade taking place outside equilibrium. This implies quantity rationing and cash in advance constraints. The updating of prices and cash balances makes it necessary for agents to continually re-optimize their trading plans subject to new transaction constraints, which include income-, financial- and quantity constraints. The decision-making process has a moving-horizon structure and the quantity constraints are incorporated into the optimization problem. The dynamics of the out-of-equilibrium price- and quantity adjustment process are shown to depend crucially on the market mechanisms that are imposed

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 294.

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Date of creation: 11 Aug 2004
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Handle: RePEc:sce:scecf4:294

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Related research
Keywords: Disequilibrium; Sequential markets; Moving-horizon optimization; Financial constraints.;

Find related papers by JEL classification:
C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis
D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation

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    Other versions:
  4. Herings, Jean-Jacques & van der Laan, Gerard & Venniker, Richard, 1998. "The transition from a Dreze equilibrium to a Walrasian equilibrium1," Journal of Mathematical Economics, Elsevier, vol. 29(3), pages 303-330, April. [Downloadable!] (restricted)
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  5. Herings, P.J.J., 1994. "Equilibrium Adjustment of Disequilibrium Prices," Discussion Paper 84, Tilburg University, Center for Economic Research. [Downloadable!]
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  6. Younes, Y, 1975. "On the Role of Money in the Process of Exchange and the Existence of a Non-Walrasian Equilibrium," Review of Economic Studies, Blackwell Publishing, vol. 42(4), pages 489-501, October. [Downloadable!] (restricted)
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  13. Gode, Dhananjay K & Sunder, Shyam, 1993. "Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality," Journal of Political Economy, University of Chicago Press, vol. 101(1), pages 119-37, February. [Downloadable!] (restricted)
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  16. Dreze, Jacques H, 1975. "Existence of an Exchange Equilibrium under Price Rigidities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 16(2), pages 301-20, June. [Downloadable!] (restricted)
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