On financial equilibrium with intermediation costs

Tobias Ejnar Markeprand

doi:10.1016/j.jmateco.2007.05.003

On financial equilibrium with intermediation costs

Tobias Ejnar Markeprand

Department of Economics

Research output: Contribution to journal › Journal article › Research › peer-review

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.

Translated title of the contribution	Om finansiel ligevægt med transaktionsomkostninger
Original language	English
Journal	Journal of Mathematical Economics
Volume	44
Issue number	2
Pages (from-to)	148-156
Number of pages	8
ISSN	0304-4068
DOIs	https://doi.org/10.1016/j.jmateco.2007.05.003
Publication status	Published - 2008

Keywords

Faculty of Social Sciences
Incomplete markets
Intermediation costs
General Equilibrium Theory

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Cite this

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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.",

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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

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EP - 156

JO - Journal of Mathematical Economics

JF - Journal of Mathematical Economics

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