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Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints

Author

Listed:
  • Stefano Bosi

    () (EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne)

  • Cuong Le Van

    () (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics, IPAG - Business School)

  • Ngoc-Sang Pham

    () (Montpellier Business School)

Abstract

We build a dynamic general equilibrium model with heterogenous producers and financial market imperfections (collateral constraints and incompleteness). First, we prove the existence of equilibrium and provide a tractable characterization to check whether a sequence is an equilibrium. Second, we study the effects of financial imperfections on economic growth and land prices. Third, we develop a theory of valuation of land by introducing the notion of endogenous land dividends (or yields) and different concepts of land-price bubbles. Some examples of bubbles are provided in economies with and without short-sales.

Suggested Citation

  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2017. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01223969, HAL.
  • Handle: RePEc:hal:cesptp:halshs-01223969
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01223969v2
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    References listed on IDEAS

    as
    1. Kocherlakota, Narayana, 2008. "Injecting rational bubbles," Journal of Economic Theory, Elsevier, vol. 142(1), pages 218-232, September.
    2. Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2014. "Intertemporal equilibrium with production: bubbles and efficiency," Documents de travail du Centre d'Economie de la Sorbonne 14043, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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    8. Kevin X.D. Huang & Jan Werner, 2000. "Asset price bubbles in Arrow-Debreu and sequential equilibrium," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 15(2), pages 253-278.
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    Cited by:

    1. Bosi, Stefano & Van, Cuong Le & Pham, Ngoc-Sang, 2018. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints," Journal of Mathematical Economics, Elsevier, vol. 76(C), pages 1-20.
    2. Bosi, Stefano & Ha-Huy, Thai & Le Van, Cuong & Pham, Cao-Tung & Pham, Ngoc-Sang, 2018. "Financial bubbles and capital accumulation in altruistic economies," Journal of Mathematical Economics, Elsevier, vol. 75(C), pages 125-139.
    3. Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2016. "Rational land and housing bubbles in infinite-horizon economies," Documents de travail du Centre d'Economie de la Sorbonne 16027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    4. repec:hal:journl:halshs-01314609 is not listed on IDEAS
    5. Pham, Ngoc-Sang, 2017. "Assets with possibly negative dividends," MPRA Paper 78193, University Library of Munich, Germany.

    More about this item

    Keywords

    Infinite horizon; general equilibrium; financial market imperfection; incomplete markets; asset valuation; rational bubbles;

    JEL classification:

    • D5 - Microeconomics - - General Equilibrium and Disequilibrium
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • D9 - Microeconomics - - Micro-Based Behavioral Economics
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G1 - Financial Economics - - General Financial Markets

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