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Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints

Pham, Ngoc-Sang and Le Van, Cuong and Bosi, Stefano (2018): Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints.

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Abstract

We build a dynamic general equilibrium model with heterogeneous producers and financial frictions (collateral constraints and incompleteness). First, we provide a characterization to check whether a sequence is an equilibrium or not. Second, we study the effects of financial imperfections on output and land prices. Third, we develop a theory of valuation of land by introducing the notion of endogenous land dividends (or yields) and different concepts of land-price bubbles. Some examples of bubbles are provided in economies with and without short-sales.

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