On financial equilibrium with intermediation costs
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On financial equilibrium with intermediation costs. / Markeprand, Tobias Ejnar.
In: Journal of Mathematical Economics, Vol. 44, No. 2, 2008, p. 148-156.Research output: Contribution to journal › Journal article › Research › peer-review
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TY - JOUR
T1 - On financial equilibrium with intermediation costs
AU - Markeprand, Tobias Ejnar
N1 - JEL classification: D52, D53, D41
PY - 2008
Y1 - 2008
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
VL - 44
SP - 148
EP - 156
JO - Journal of Mathematical Economics
JF - Journal of Mathematical Economics
SN - 0304-4068
IS - 2
ER -
ID: 6529632