On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets

2017 ◽  
Vol 11 (4) ◽  
pp. 455-477 ◽  
Author(s):  
Robert Jarrow
Keyword(s):  
Competitive Equilibrium ◽  
Asset Markets

The Value of Future Earnings in Perfect Foresight Equilibrium

2011 ◽  
Vol 22 (1) ◽  
pp. 21-41 ◽  
Author(s):  
Scott Dale Gilbert
Keyword(s):  
Competitive Equilibrium ◽  
Historical Data ◽  
Asset Markets ◽  
Perfect Foresight ◽  
Future Earnings ◽  
Econometric Methods ◽  
Forensic Economics ◽  
Fair Compensation ◽  
Future Income ◽  
Income Stream

Abstract The present work considers the problem of valuing a future income stream in a perfect foresight economy. In this setting, with competitive equilibrium in labor and asset markets, market valuation of labor-generated income streams can be very simple. However, it can also be undone by moral hazard, in which case valuation may be based instead on fair compensation. I show that perfect foresight valuation emerges somewhat imperfectly in the forensic economics literature. To apply this type of valuation, the economist must form an expectation E[P] about perfect foresight price P. I consider several models of this expectation, some of which yield standard present value equations. I find that, while standard equations “fit” historical data well in some respects, they miss some dynamics that are better captured by more advanced econometric methods.

scholarly journals EXISTENCE OF COMPETITIVE EQUILIBRIUM IN AN OPTIMAL GROWTH MODEL WITH HETEROGENEOUS AGENTS AND ENDOGENOUS LEISURE

2012 ◽  
Vol 16 (S1) ◽  
pp. 33-51 ◽  
Author(s):  
Aditya Goenka ◽  
Cuong Le Van ◽  
Manh-Hung Nguyen
Keyword(s):  
Heterogeneous Agents ◽  
Competitive Equilibrium ◽  
Optimal Growth ◽  
Direct Application ◽  
Asset Markets ◽  
Infinite Dimensional ◽  
Dynamic Economy ◽  
Summable Sequence ◽  
Elastic Labor Supply ◽  
Boundary Fixed Point

This paper proves the existence of competitive equilibrium in a single-sector dynamic economy with heterogeneous agents, elastic labor supply, and complete asset markets. The method of proof relies on some recent results concerning the existence of Lagrange multipliers in infinite-dimensional spaces and their representation as a summable sequence and a direct application of the inward-boundary fixed point theorem.

Large Traders, Asset Markets, and Currency Crises

2019 ◽  
Author(s):  
Kim-Sau Chung ◽  
Yilin Wang
Keyword(s):  
Currency Crises ◽  
Asset Markets
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