A Andriyashin, Igor Pospelov1, Denis Fomchenko
  • 1 National Research University Higher School of Economics, 20 Myasnitskaya Str., Moscow, 101000, Russian Federation

Dynamic General Equilibrium Model with Stock Market

2003. Vol. 7. No. 3. P. 313–340 [issue contents]

In this article a model of intertemporal equilibrium is presented. The primary goal of the study is to find out whether models of intertemporal equilibrium are adequate for description of economic transitional processes. An intertemporal equi­librium model with two agents: a firm-producer and a proprietor-consumer is ana­lysed where the agents are aggregate proxies for production and non-production spheres of an economy. The goal of a firm is to maximize earnings of its shareholder while shareholder maximizes discounted flow of utility arising from consumption of goods. Studying not only goods market equilibrium but also stock market equilib­rium is model peculiarity. A full model solution for any initial conditions is obtained. The efficiency of equilibrium is studied. All equilibrium trajectories are proved to be non-efficient i.e. do not maximize consumption utility flow over the feasible produc­tion set. At the same time over the trajectories close to efficient ones firm's own capital is close to zero. Such trajectories are characterized by maximum possible ini­tial price of share. Examples of transitional processes arising from different values of consumer's and firm's planning time horizons ratio are presented.

Citation: Andriyashin A., Pospelov I., Fomchenko D. (2003) Dinamicheskaya model' obshchego ravnovesiya pri nalichii rynka aktsiy [Dynamic General Equilibrium Model with Stock Market]. HSE Economic Journal , vol. 7, no 3, pp. 313-340 (in Russian)
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