EXISTENCE OF STATIONARY EQUILIBRIUM IN AN INCOMPLETE-MARKET MODEL WITH ENDOGENOUS LABOR SUPPLY

摘要

In this article, I first study an income fluctuation problem with endogenous labor supply. Let beta be the agent's time discount factor and R0 be the constant gross rate of return on assets. For beta R=1, I show that the agent's wealth either approaches infinity almost surely or converges to a finite level almost surely. For beta R1, 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.