On financial equilibrium with intermediation costs

Tobias Ejnar Markeprand

doi:10.1016/j.jmateco.2007.05.003

On financial equilibrium with intermediation costs

Bidragets oversatte titel: Om finansiel ligevægt med transaktionsomkostninger

Tobias Ejnar Markeprand

Økonomisk Institut

2 Citationer (Scopus)

Abstract

Denne artikel analyserer mængden af kompetitive ligevægte i en finansiel økonomi med transaktionsomkostninger. Vi betragter en klasse af dividende strukturer, der inkluderer optioner og aktier med begrænset hæfte. Vi viser et generelt eksistensresultat og opad hemi kontinuitet af ligevægtskorrespondancen. Endelig viser vi, at hvis transaktionsomkostninger går mod nul, ubegrænset handel af aktiver er en nødvendig og tilstrækkelig betingelser, forudsat at der ikke eksisterer en finansiel ligevægt uden transaktionsomkostninger.

Bidragets oversatte titel	Om finansiel ligevægt med transaktionsomkostninger
Originalsprog	Engelsk
Tidsskrift	Journal of Mathematical Economics
Vol/bind	44
Udgave nummer	2
Sider (fra-til)	148-156
Antal sider	8
ISSN	0304-4068
DOI	https://doi.org/10.1016/j.jmateco.2007.05.003
Status	Udgivet - 2008

Emneord

Det Samfundsvidenskabelige Fakultet
Ufuldstændige markeder
Transaktionsomkostninger
Generel ligevægtsteori

Adgang til dokumentet

10.1016/j.jmateco.2007.05.003

Citationsformater

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title = "On financial equilibrium with intermediation costs",

abstract = "This paper studies the set of competitive equilibria in financial economies with intermediation costs. We consider an arbitrary dividend structure, which includes options and equity with limited liabilities.We show a general existence result and upper-hemi continuity of the equilibrium correspondence. Finally, we prove that when intermediation costs approach zero, unbounded volume of asset trades is a necessary and sufficient condition, provided that, there is no financial equilibrium without intermediation costs.",

keywords = "Faculty of Social Sciences, Ufuldst{\ae}ndige markeder, Transaktionsomkostninger, Generel ligev{\ae}gtsteori, Incomplete markets, Intermediation costs, General Equilibrium Theory",

author = "Markeprand, {Tobias Ejnar}",

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T1 - On financial equilibrium with intermediation costs

AU - Markeprand, Tobias Ejnar

N1 - JEL classification: D52, D53, D41

PY - 2008

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N2 - This paper studies the set of competitive equilibria in financial economies with intermediation costs. We consider an arbitrary dividend structure, which includes options and equity with limited liabilities.We show a general existence result and upper-hemi continuity of the equilibrium correspondence. Finally, we prove that when intermediation costs approach zero, unbounded volume of asset trades is a necessary and sufficient condition, provided that, there is no financial equilibrium without intermediation costs.

AB - This paper studies the set of competitive equilibria in financial economies with intermediation costs. We consider an arbitrary dividend structure, which includes options and equity with limited liabilities.We show a general existence result and upper-hemi continuity of the equilibrium correspondence. Finally, we prove that when intermediation costs approach zero, unbounded volume of asset trades is a necessary and sufficient condition, provided that, there is no financial equilibrium without intermediation costs.

KW - Faculty of Social Sciences

KW - Ufuldstændige markeder

KW - Transaktionsomkostninger

KW - Generel ligevægtsteori

KW - Incomplete markets

KW - Intermediation costs

KW - General Equilibrium Theory

U2 - 10.1016/j.jmateco.2007.05.003

DO - 10.1016/j.jmateco.2007.05.003

M3 - Journal article

SN - 0304-4068

VL - 44

SP - 148

EP - 156

JO - Journal of Mathematical Economics

JF - Journal of Mathematical Economics

IS - 2

ER -

On financial equilibrium with intermediation costs

Abstract

Emneord

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Citationsformater