The current literature offers two views on the nature of the income process. According to the first view, which we call the “restricted income profiles” (RIP) model (MaCurdy, 1982), individuals are subject to large and very persistent shocks, while facing similar life-cycle income profiles...

We consider an extension of a general equilibrium model with incomplete markets that considers cash-in-advance constraints. The total amount of money is supplied by an authority, which produces at no cost and lends money to agents at short term nominal rates of interest, meeting the demand....

The estimation of the discount rate for an investment project in conditions of risk relies upon two crucial assumptions: market completeness and well-diversified investors. Although, these two assumptions are tenable in developed capital markets, they are not suitable in emerging markets. In...

In a discrete setting, we develop a model for pricing a contingent claim. Since the presence of hedging opportunities influences the price of a contingent claim, first we introduce the optimal hedging strategy assuming a contingent claim has been issued: a strategy implemented by investing the...

In this paper we extend the results of recent studies on the existence of equilibrium in finite dimensional asset markets for both bounded and unbounded economies. We do not assume that the individual's preferences are complete or transitive. Our existence theorems for asset markets allow for...

In competitive economies with private firm ownership, incomplete markets, and firm shareholders changing over time, several firm objectives have been proposed. Some are useful to understand efficiency of equilibria, and others are explicitly consistent with majority shareholder control or...

A new measure of constrained efficiency for application in economies with incomplete markets is presented. This measure --- termed Allais- Malinvaud efficiency --- can be viewed as adjusting for market incompleteness not fully captured in previous work. It is shown that equilibrium allocations...

This paper builds on Kočenda (2001) and extends it in two ways. First, two new intervals of the proximity parameter ε (over which the correlation integral is calculated) are specified. For these ε- ranges new critical values for various lengths of the data sets are introduced and through...

In panel data the interest is often in slope estimation while taking account of the unobserved cross sectional heterogeneity. This paper proposes two nonparametric slope estimation where the unobserved effect is treated as fixed across cross section. The first estimator uses first-differencing...