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Hubert Stahn - One of the best experts on this subject based on the ideXlab platform.

  • On Shapley–Shubik equilibria with financial markets
    Economic Theory, 2008
    Co-Authors: Gaël Giraud, Hubert Stahn
    Abstract:

    In this paper, we extend the Shapley–Shubik model to a two period financial economy, and essentially address the question of the existence of an equilibrium. More precisely, we show the existence of nice equilibria, i.e. situations in which prices for both assets and commodities are strictly positive. Even if the general lines of the proof are largely influenced by the paper of Dubey and Shubik (J Econ Theory 17:1–20, 1978), most of the arguments are new because of the financial nature of the economy. It forces us to deal with a generalized Nash equilibrium, and to proscribe the use of arguments which only work with a single Cash-in-Advance Constraint.

  • On Shapley-Shubik Equilibria with Financial Markets
    Economic Theory, 2008
    Co-Authors: Gaël Giraud, Hubert Stahn
    Abstract:

    In this paper, we extend the Shapley-Shubik model to a two period financial economy, and essentially address the question of the existence of an equilibrium. More precisely, we show the existence of nice equilibria, i.e. situations in which prices for both assets and commodities are strictly positive. Even if the general lines of the proof are largely influenced by the paper of Dubey and Shubik (J Econ Theory 17:1-20, 1978), most of the arguments are new because of the financial nature of the economy. It forces us to deal with a generalized Nash equilibrium, and to proscribe the use of arguments which only work with a single Cash-in-Advance Constraint.

Gaël Giraud - One of the best experts on this subject based on the ideXlab platform.

  • Nominal Uniqueness and Money Non-neutrality in the Limit-Price Exchange Process
    2010
    Co-Authors: Gaël Giraud, Dimitrios P. Tsomocos
    Abstract:

    We define continuous-time dynamics for exchange economies with fiat money. Traders have locally rational expectations, face a Cash-in-Advance Constraint, and continuously adjust their short-run dominant strategy in a monetary strategic market game involving a double-auction with limit-price orders. Money has a positive value except on optimal rest-points where it becomes a "veil" and trade vanishes. Typically, there is a peicewise globally unique trade-ant-price curve both in real and in nominal variables. Money is not neutral, either in the short-run or long-run, and a localized version of the quantity theory of money holds in the short-run. An optimal money growth rate is derived, which enables monetary trade curves to converge towards Pareto optimal rest-points. Below this growth rate, the economy enters a (sub-optimal) liquidity trap where monetary policy is ineffective ; above this threshold inflation rises. Finally, market liquidity, measured through the speed of real trades, can be linked to gains-to-trade, households' expectations, and the quantity of circulating money.

  • On Shapley–Shubik equilibria with financial markets
    Economic Theory, 2008
    Co-Authors: Gaël Giraud, Hubert Stahn
    Abstract:

    In this paper, we extend the Shapley–Shubik model to a two period financial economy, and essentially address the question of the existence of an equilibrium. More precisely, we show the existence of nice equilibria, i.e. situations in which prices for both assets and commodities are strictly positive. Even if the general lines of the proof are largely influenced by the paper of Dubey and Shubik (J Econ Theory 17:1–20, 1978), most of the arguments are new because of the financial nature of the economy. It forces us to deal with a generalized Nash equilibrium, and to proscribe the use of arguments which only work with a single Cash-in-Advance Constraint.

  • On Shapley-Shubik Equilibria with Financial Markets
    Economic Theory, 2008
    Co-Authors: Gaël Giraud, Hubert Stahn
    Abstract:

    In this paper, we extend the Shapley-Shubik model to a two period financial economy, and essentially address the question of the existence of an equilibrium. More precisely, we show the existence of nice equilibria, i.e. situations in which prices for both assets and commodities are strictly positive. Even if the general lines of the proof are largely influenced by the paper of Dubey and Shubik (J Econ Theory 17:1-20, 1978), most of the arguments are new because of the financial nature of the economy. It forces us to deal with a generalized Nash equilibrium, and to proscribe the use of arguments which only work with a single Cash-in-Advance Constraint.

Jana Hromcová - One of the best experts on this subject based on the ideXlab platform.

  • On Income Velocity of Money, Precautionary Money Demand and Growth
    Journal of Economics, 2007
    Co-Authors: Jana Hromcová
    Abstract:

    A stochastic growth model with money introduced via a Cash-in-Advance Constraint is used to analyze the behavior of the income velocity of real monetary balances and money demand. Agents can purchase consumption goods only using government issued money. The Cash-in-Advance Constraint may become nonbinding because of the uncertainty about the realization of the state of the economy. We find that the precautionary money demand may introduce significant changes into the volatility of the income velocity if it happens almost always. Its presence can also alter the relationship between the average growth rate of money supply and the average growth rate of the economy.

  • Precautionary Money Demand in a Cash-in-Advance Economy with Capital
    Computational Economics, 2005
    Co-Authors: Jana Hromcová
    Abstract:

    We use a stochastic Cash-in-Advance model with capital to analyze the behavior of economic agents with respect to a precautionary money demand. We show that the conditions under which agents demand more money than they actually spend in the shopping session differ according to the agent’s utility function parameter. When agents are highly risk averse, the precautionary money demand may arise under low technology shocks. The circumstances under which a nonbinding Cash-in-Advance Constraint may appear are reversed in a model without capital. The reason of observed differences is the possibility of converting a fraction of output into capital, not only into real balances.

  • ON THE INCOME VELOCITY OF MONEY IN A Cash-in-Advance ECONOMY WITH CAPITAL
    2004
    Co-Authors: Jana Hromcová
    Abstract:

    A stochastic growth model with money introduced via a Cash-in-Advance Constraint is used to analyze the behaviour of the income velocity of real monetary balances. Agents can purchase consumption goods only using government issued money and capital is a credit good. The Cash-in-Advance Constraint may become nonbinding because of the uncertainty about the realization of the state of the economy. Changes in the income velocity of money due to a precautionary money demand are studied. We find that despite the precautionary money demand does not introduce significant changes into the volatility of the income velocity, its presence can alter the relationship between the growth rate of money supply and the income velocity.

  • A note on income velocity of money in a Cash-in-Advance economy with capital
    Economics Letters, 1998
    Co-Authors: Jana Hromcová
    Abstract:

    A stochastic growth model with money introduced via a Cash-in-Advance Constraint is used to analyze the behaviour of the income velocity of real monetary balances. Agents can purchase consumption goods only using government issued money and capital is a credit good. The Cash-in-Advance Constraint may become nonbinding because of the uncertainty about the realization of the state of the economy. Changes in the income velocity of money due to a precautionary money demand are studied. We find that despite the precautionary money demand does not introduce significant changes into the volatility of the income velocity, its presence can alter the relationship between the growth rate of money supply and the income velocity.

Gary D Hansen - One of the best experts on this subject based on the ideXlab platform.

  • The Inflation Tax in a Real Business Cycle Model
    The American Economic Review, 2016
    Co-Authors: Thomas F Cooley, Gary D Hansen
    Abstract:

    Money is incorporated into a real business cycle model using a Cash-in-Advance Constraint. The model economy is used to analyze whether the business cycle is different in high inflation and low inflation economies and to analyze the impact of variability in the growth rate of money. In addition, the welfare cost of the inflation tax is measured and the steady-state properties of high and low inflation economies are compared.

Thomas F Cooley - One of the best experts on this subject based on the ideXlab platform.

  • The Inflation Tax in a Real Business Cycle Model
    The American Economic Review, 2016
    Co-Authors: Thomas F Cooley, Gary D Hansen
    Abstract:

    Money is incorporated into a real business cycle model using a Cash-in-Advance Constraint. The model economy is used to analyze whether the business cycle is different in high inflation and low inflation economies and to analyze the impact of variability in the growth rate of money. In addition, the welfare cost of the inflation tax is measured and the steady-state properties of high and low inflation economies are compared.