Equilibrium of incomplete markets with money and intermediate banking system

This paper studies a simple stochastic two-period general equilibrium exchange model with money, an incomplete market of nominal assets, and a competitive banking system, intermediate between consumers and a Central Bank. There is a finite number of agents, consumers and banks. Default is not permitted. The public policy instruments are, besides real taxes implicit in the model, public debt and creation of money both implemented at the first period. The equilibrium existence is established under a Gains to trade hypothesis and the assumption that banks have a non zero endowment of money at each date-event of the model.Competitive banking system, incomplete markets, nominal assets, money, monetary equilibrium, cash-in-advance constraints, public debt.

Convex dynamic programming with (bounded) recursive utility

We consider convex dynamic programs with general (bounded) recursive utilities. The Contraction Mapping Theorem fails when the utility aggregator does not obey any discounting property. This failure occurs even with traditional aggregators and certainty equivalent specifications. However, the Bellman operator admits a unique fixed point when an interior policy is feasible. This happens because utility values are unique at interior consumption plans and, when an interior perturbation is feasible, drops in utility values can be avoided

Existence and Uniqueness of a Fixed-Point for Local Contractions

This paper proves the existence and uniqueness of a fixed-point for local contractions without assuming the family of contraction coefficients to be uniformly bounded away from 1. More importantly it shows how this fixed-point result can apply to study existence and uniqueness of solutions to some recursive equations that arise in economic dynamics.

Endogenous Transaction Costs

The paper proposes an alternative general equilibrium formulation of financial asset economies with transactions costs. Transaction costs emerge endogenously at equilibrium and reflect agents decisions of intermediating financial activities at the expense of providing labor services. An equilibrium is shown to exist in the case of real asset structures.Competitive equilibrium, Incomplete markets, Endogenous transaction costs.

Constrained efficiency without commitment

We consider an infinite horizon economy where agents share income risks by trading a complete set of contingent claims but cannot commit to their promises. Allocations are restricted to be self-enforcing relative to autarchic reservation utilities. We provide a general characterization of constrained Pareto efficiency without assuming that there are uniform gains to trade. Our results extend those in Bloise and Reichlin (2011) in several aspects

Equilibrium dynamics in an aggregative model of capital accumulation with heterogeneous agents and elastic labor

The paper extends the canonical representative agent Ramsey model to include heterogeneous agents and elastic labor supply. The welfare maximization problem is analyzed and shown to be equivalent to a non-stationary reduced form model. An iterative procedure is exploited to prove the supermodularity of the indirect utility function. Supermodularity is subsequently used to establish the convergence of optimal paths.Single-sector growth model, heterogeneous agents, elastic labor supply.

Monotone Concave Operators: An application to the existence and uniqueness of solutions to the Bellman equation

We propose a new approach to the issue of existence and uniqueness of solutions to the Bellman equation, exploiting an emerging class of methods, called monotone map methods, pioneered in the work of Krasnosel'skii-Zabreiko (1984). The approach is technically simple and intuitive. It is derived from geometric ideas related to the study of fixed points for monotone concave operators defined on partially order spaces.Dynamic programming; Bellman equation; Unbounded returns

Monotone concave operators: An application to the existence and uniqueness of solutions to the Bellman equation

We propose a new approach to the issue of existence and uniqueness of solutions to the Bellman equation, exploiting an emerging class of methods, called monotone map methods, pioneered in the work of Krasnosel’skii (1964) and Krasnosel’skii-Zabreiko (1984). The approach is technically simple and intuitive. It is derived from geometric ideas related to the study of fixed points for monotone concave operators defined on partially order spaces.Dynamic Programming; Bellman Equation; Unbounded Returns

Endogenous Transaction Costs

The paper proposes an alternative general equilibrium formulation of financial asset economies with transactions costs. Transaction costs emerge endogenously at equilibrium and reflect agents decisions of intermediating financial activities at the expense of providing labor services. An equilibrium is shown to exist in the case of real asset structures.