Observable Restrictions of General Equilibrium Models with Financial Markets

Felix Kubler

A chapter in Computational Aspects of General Equilibrium Theory, 2008, pp 93-108 from Springer

Abstract: Abstract This paper examines whether general equilibrium models of exchange economies with incomplete financial markets impose restrictions on prices of commodities and assets given the stochastic processes of dividends and aggregate endowments. We show that the assumption of time-separable expected utility implies restriction on the cross-section of asset prices as well as on spot commodity prices. However, a relaxation of the assumption of time separability will generally destroy these restriction.

Keywords: General equilibrium; Incomplete financial markets; Non-parametric restrictions (search for similar items in EconPapers)
Date: 2008
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Journal Article: Observable restrictions of general equilibrium models with financial markets (2003)
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DOI: 10.1007/978-3-540-76591-2_8

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