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The Existence Of Equilibrium In A Financial Market With Transaction Costs

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  • Jin, Xing
  • Milne, Frank

Abstract

This 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.
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Jin, Xing & Milne, Frank, 1999. "The Existence Of Equilibrium In A Financial Market With Transaction Costs," Queen's Economics Department Working Papers 273560, Queen's University - Department of Economics.
    • Handle: RePEc:ags:quedwp:273560
    DOI: 10.22004/ag.econ.273560
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    File URL: https://ageconsearch.umn.edu/record/273560/files/qed_wp_1084.pdf
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    Cited by:

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    2. Milne, Frank & Neave, Edwin, 2003. "A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints," Queen's Economics Department Working Papers 273558, Queen's University - Department of Economics.
    3. Milne, Frank & Jin, Xing, 2006. "Taxation and Transaction Costs in a General Equilibrium Asset Economy," Queen's Economics Department Working Papers 273587, Queen's University - Department of Economics.
    4. V. Filipe MARTINS-DA-ROCHA & YIANNIS VAILAKIS, 2008. "Endogenous Transaction Costs," Discussion Papers 0810, University of Exeter, Department of Economics.
    5. Frank Milne, 2008. "Credit Crises, Risk Management Systems and Liquidity Modelling," Working Papers 1, John Deutsch Institute for the Study of Economic Policy.
    6. Shunming Zhang & Chunlei Xu & Xiaotie Deng, 2002. "Dynamic Arbitrage‐Free Asset Pricing with Proportional Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 12(1), pages 89-97, January.
    7. V. Martins-da-Rocha & Yiannis Vailakis, 2010. "Financial markets with endogenous transaction costs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 65-97, October.

    More about this item

    Keywords

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    JEL classification:

    • 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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