TY - JOUR TI -

Dynamic General Equilibrium Model with Stock Market

T2 - HSE Economic Journal IS - HSE Economic Journal KW - stock market KW - transition processes in the economy KW - sphere of economy KW - economic equilibrium AB - 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. AU - A Andriyashin AU - Igor Pospelov AU - Denis Fomchenko UR - https://ej.hse.ru/en/2003-7-3/26561408.html PY - 2003 SP - 313-340 VL - 7