General equilibrium with heterogeneous participants and discrete consumption times

Oldrich Alfons Vasicek

Journal of Financial Economics, 2013, vol. 108, issue 3, 608-614

Abstract: The paper investigates the term structure of interest rates imposed by equilibrium in a production economy consisting of participants with heterogeneous preferences. Consumption is restricted to an arbitrary number of discrete times. The paper contains an exact solution to market equilibrium and provides an explicit constructive algorithm for determining the state price density process. The convergence of the algorithm is proven. Interest rates and their behavior are given as a function of economic variables.

Keywords: General equilibrium; Computable general equilibrium models; Production economies; Term structure of interest rates; Determination of interest rates (search for similar items in EconPapers)
JEL-codes: C68 D51 D58 E43 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:108:y:2013:i:3:p:608-614

DOI: 10.1016/j.jfineco.2013.01.005

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