Uniqueness of competitive equilibrium with solvency constraints under gross-substitution

Gaetano Bloise and Alessandro Citanna

Journal of Mathematical Economics, 2015, vol. 61, issue C, 287-295

Abstract: Under a gross substitution assumption, we prove existence and uniqueness of competitive equilibrium for an infinite-horizon exchange economy with limited commitment and complete financial markets. Risk-sharing is limited as only a part of the private endowment can be used as collateral to secure debt. The unique equilibrium is Markovian with respect to a minimal state space consisting of exogenous shocks and Negishi’s welfare weights. We represent equilibrium dynamics via a monotone operator acting on entire wealth distribution functions. We construct a fixed point of this operator generating a lower and an upper orbit and proving coincidence of accumulation points.

Keywords: Solvency constraints; Gross substitution; Competitive equilibrium; Monotone operator (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:61:y:2015:i:c:p:287-295

DOI: 10.1016/j.jmateco.2015.09.008

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