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EXISTENCE OF STATIONARY EQUILIBRIUM IN AN INCOMPLETE‐MARKET MODEL WITH ENDOGENOUS LABOR SUPPLY
Author(s) -
Zhu Shenghao
Publication year - 2020
Publication title -
international economic review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.658
H-Index - 86
eISSN - 1468-2354
pISSN - 0020-6598
DOI - 10.1111/iere.12451
Subject(s) - uniqueness , economics , infinity , incomplete markets , constant (computer programming) , distribution (mathematics) , mathematical economics , general equilibrium theory , econometrics , microeconomics , mathematics , mathematical analysis , computer science , programming language
In this article, I first study an income fluctuation problem with endogenous labor supply. Let β be the agent's time discount factor and R > 0 be the constant gross rate of return on assets. For β R = 1 , I show that the agent's wealth either approaches infinity almost surely or converges to a finite level almost surely. For β R < 1 , I prove the existence, uniqueness, and stability of the stationary distribution of state variables. I then show the existence of the stationary general equilibrium in an incomplete‐market model with endogenous labor supply.