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The Existence of Equilibrium in a Financial Market with Transaction Costs

  • Xing Jin
  • Frank Milne

This paper proves the existence of a general equilibrium in a financial model with transaction costs. The general equilibrium is shown to exist in a model with convex trading technology, in which the agents include consumers, production firms, brokers and 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 finitep-convexity on the commodity excess demand correspondence, the general equilibium for a non-convex exchange economy is obtained for an economy with consumers, brokers and dealers.

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File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_934.pdf
File Function: First version 1996
Download Restriction: no

Paper provided by Queen's University, Department of Economics in its series Working Papers with number 934.

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Length: 22 pages
Date of creation: Sep 1996
Date of revision:
Handle: RePEc:qed:wpaper:934
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