Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints

Stefano Bosi (1) , Cuong Le Van (2, 3, 4) , Ngoc-Sang Pham (5)

1 EPEE - Centre d'Etudes des Politiques Economiques
2 CES - Centre d'économie de la Sorbonne
3 PSE - Paris School of Economics
4 IPAG
5 Montpellier Business School

We build a dynamic general equilibrium model with heterogenous producers and financial market imperfections (collateral constraints and incompleteness). First, we prove the existence of equilibrium and provide a tractable characterization to check whether a sequence is an equilibrium. Second, we study the effects of financial imperfections on economic growth and land prices. Third, we develop a theory of valuation of land by introducing the notion of endogenous land dividends (or yields) and different concepts of land-price bubbles. Some examples of bubbles are provided in economies with and without short-sales.

Mots clés: Infinite horizon; general equilibrium; financial market imperfection; incomplete markets; asset valuation; rational bubbles

Domaines: Economies et finances

Stefano Bosi, Cuong Le Van, Ngoc-Sang Pham. Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints. 2017. ⟨halshs-01223969v2⟩