Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
研究无限期界交换经济中，存在不完全市场和抵押品约束时的竞争均衡存在性，证明在马尔可夫外生变量下存在平稳均衡，并开发数值算法近似求解，通过算例展示算法性能与均衡特征。
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 default on their liabilities at any time, and financial securities are only traded if the promises associated with these securities are backed by collateral.We examine an economy with a single perishable consumption good, where the only collateral available consists of productive assets.In this model, competitive equilibria always exist and we show that, under the assumption that all exogenous variables follow a Markov chain, there also exist stationary equilibria.These equilibria can be characterized by a mapping from the exogenous shock and the current distribution of financial wealth to prices and portfolio choices.We develop an algorithm to approximate this mapping numerically and discuss ways to implement the algorithm in practice.A computational example demonstrates the performance of the algorithm and shows some quantitative features of equilibria in a model with collateral and default.