Publication: Incomplete markets in infinite horizon: debt constraints versus node prices
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1995-03
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Abstract
The general equilibrium model with incomplete markets is here extended to infinite horizon economies populated. by a finite number of infinitely-lived agents. The crucial issue which divides the infinite horizon setting from the finite horizon setting is in the nature of borrowing constaints which added to spot constraints define a plausible budget set for individual agents. The paper relates seyen altemative definitions of equilibrium and states corresponding equilibrium existence theorems when assets are one-period and purely financial.
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Stochastic equilibrium, Incomplete markets, Infinite horizon, Purely financial, One-period securities, No-arbitrage asset pricing