Existence of a Radner equilibrium in a model with transaction costs
Existence of a Radner equilibrium in a model with transaction costs
复制标题
交易成本模型中拉德纳均衡的存在性
DOI：
10.1007/s11579-018-0214-7
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发表时间：
2017
影响因子：
1.6
通讯作者：
Kim Weston
中科院分区：
文献类型：
--
作者：
Kim Weston
我们证明了在无限时间范围内具有比例交易费用的模型中Radner均衡的存在性，并分析了交易费用对内生决定利率的影响。两个代理人获得外生的，未跨越的收入，并选择消费和投资到年金。在建立了离散时间均衡的存在性之后，我们证明了离散时间均衡收敛于连续时间均衡模型。连续时间均衡提供了一个关于交易成本参数的均衡利率的明确公式。我们分析了交易成本对均衡利率和福利水平的影响。
We prove the existence of a Radner equilibrium in a model with proportional transaction costs on an infinite time horizon and analyze the effect of transaction costs on the endogenously determined interest rate. Two agents receive exogenous, unspanned income and choose between consumption and investing into an annuity. After establishing the existence of a discrete-time equilibrium, we show that the discrete-time equilibrium converges to a continuous-time equilibrium model. The continuous-time equilibrium provides an explicit formula for the equilibrium interest rate in terms of the transaction cost parameter. We analyze the impact of transaction costs on the equilibrium interest rate and welfare levels.