This paper proves equilibrium existence in an incomplete market sequential economy with finitely-lived debt contracts. Introducing credit constraints limiting agents’ access to liquidity, we show that a competitive ...

We consider an exchange economy under incomplete financiaI markets with purely financiaI securities and finitely many agents. When portfolios are not constrained, Cass [4], Duffie [7] and Florenzano-Gourdel [12] proved ...

This paper studies a class of general equilibrium economies in which the individuals' endowments depend on privately observed effort choices and the financial markets are endogenous. The environment is modeled as a two-stage ...

We develop a two period general equilibrium model with incomplete financial markets and differential information. Making endogenous the traditional informational restriction on consumption, we allow agents to obtain ...

It is well known that when an arbitrage-free financial market is incomplete or has tradable financial assets with frictions there must be multiple risk-neutral probability measures. The main motivation for the present study ...

The paper proposes an alternative general equilibrium formulation of financial asset economies with transaction costs. Transaction costs emerge endogenously at equilibrium and reflect agents' decisions of intermediating ...