161,101 research outputs found
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.
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.
Transaction Costs and Institutions
This paper proposes a simple framework for understanding endogenous transaction costs - their composition, size and implications. In a model of diversification against risk, we distinguish between investments in institutions that facilitate exchange and the costs of conducting exchange itself. Institutional quality and market size are determined by the decisions of risk averse agents and conditions are discussed under which the efficient allocation may be decentralized. We highlight a number of differences with models where transaction costs are exogenous, including the implications for taxation and measurement issues.Exchange costs, transaction costs, general equilibrium, institutions..
Market Equilibrium with Transaction Costs
Identical products being sold at different prices in different locations is a
common phenomenon. Price differences might occur due to various reasons such as
shipping costs, trade restrictions and price discrimination. To model such
scenarios, we supplement the classical Fisher model of a market by introducing
{\em transaction costs}. For every buyer and every good , there is a
transaction cost of \cij; if the price of good is , then the cost to
the buyer {\em per unit} of is p_j + \cij. This allows the same good
to be sold at different (effective) prices to different buyers.
We provide a combinatorial algorithm that computes -approximate
equilibrium prices and allocations in
operations -
where is the number goods, is the number of buyers and is the sum
of the budgets of all the buyers
Equilibrium Returns with Transaction Costs
We study how trading costs are reflected in equilibrium returns. To this end,
we develop a tractable continuous-time risk-sharing model, where heterogeneous
mean-variance investors trade subject to a quadratic transaction cost. The
corresponding equilibrium is characterized as the unique solution of a system
of coupled but linear forward-backward stochastic differential equations.
Explicit solutions are obtained in a number of concrete settings. The
sluggishness of the frictional portfolios makes the corresponding equilibrium
returns mean-reverting. Compared to the frictionless case, expected returns are
higher if the more risk-averse agents are net sellers or if the asset supply
expands over time.Comment: Finance and Stochastics, Springer Verlag (Germany), In pres
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