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Infinite Horizon Incomplete Markets

Author

Listed:
  • Magill, M.
  • Quinzii, M.

Abstract

This paper extends the general equilibrium model with incomplete markets to an open-ended future, thereby providing a natural setting for analyzing problems in macroeconomics. Two concepts of equilibrium are defined that prevent agents from entering into Ponzi schemes: the first is based on debt constraints and the second is based on a transversality condition that limits the rate of growth of debt. Under the assumption that agents are impatient (Mackey continuity of preferences) and have a degree of impatience that is bounded below, the two concepts of equilibrium are shown to coincide and lead to existence of equilibrium. Copyright 1994 by The Econometric Society.
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Suggested Citation

  • Magill, M. & Quinzii, M., 1992. "Infinite Horizon Incomplete Markets," Papers 413a, California Davis - Institute of Governmental Affairs.
    • Handle: RePEc:fth:caldav:413a
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    Keywords

    economic equilibrium ; economic models ; prices;
    All these keywords.

    JEL classification:

    • D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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