We consider an infinite‐horizon exchange economy with incomplete markets and collateral
constraints. As in the two‐period model of Geanakoplos and Zame (2002), households can …

A rigorous and example-driven introduction to topics in economic dynamics, with an
emphasis on mathematical and computational techniques for modeling dynamic systems …

In a standard incomplete markets model with a continuum of households that have constant
relative risk aversion (CRRA) preferences, the absence of insurance markets for …

This paper argues that incompleteness of intertemporal financial markets has little effect (on
welfare, prices, or consumption) in an economy with a single consumption good, provided …

This paper studies competitive equilibria of a production economy with aggregate
productivity shocks. There is a continuum of consumers who face borrowing constraints and …

In this article we examine the competitive equilibria of a dynamic stochastic economy with
complete markets and collateral constraints. We show that, provided the sets of asset pay …

Many stockholders irrationally believe that high recent stock market returns predict high
future stock market returns. The presence of these extrapolators can help resolve the equity …

Because of non‐traded human capital, real‐world financial markets are massively
incomplete, while the modeling of imperfect, dynamic financial markets remains a wide …

We propose a general discrete-time framework for deriving equilibrium prices of financial
securities. It allows for heterogeneous agents, unspanned random endowments, and convex …

This paper uses the tools developed in the literature on dynamically incomplete markets with
finite agents to study the large economy with a continuum of agents and both aggregate and …