Author: Alessandro Citanna
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
In this paper we re-examine generic constrained suboptimality of equilibrium allocations with incomplete numeraire asset markets. We provide a general framework which is capable of resolving some issues left open by the previous literature, and encompasses many kinds of intervention in partially controlled market economies. In particular, we establish generic constrained suboptimality, as studied by Geanakoplos and Polemarchakis, even without an upper bound on the number of households. Moreover, we consider the case where asset markets are left open, and the planner can make lump-sum transfers in a limited number of goods. We show that such a perfectly anticipated wealth redistribution policy, though consistent with the assumed incomplete financial structure, is typically effective.
Constrained Suboptimality in Incomplete Markets
Author: Alessandro Citanna
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
In this paper we re-examine generic constrained suboptimality of equilibrium allocations with incomplete numeraire asset markets. We provide a general framework which is capable of resolving some issues left open by the previous literature, and encompasses many kinds of intervention in partially controlled market economies. In particular, we establish generic constrained suboptimality, as studied by Geanakoplos and Polemarchakis, even without an upper bound on the number of households. Moreover, we consider the case where asset markets are left open, and the planner can make lump-sum transfers in a limited number of goods. We show that such a perfectly anticipated wealth redistribution policy, though consistent with the assumed incomplete financial structure, is typically effective.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
In this paper we re-examine generic constrained suboptimality of equilibrium allocations with incomplete numeraire asset markets. We provide a general framework which is capable of resolving some issues left open by the previous literature, and encompasses many kinds of intervention in partially controlled market economies. In particular, we establish generic constrained suboptimality, as studied by Geanakoplos and Polemarchakis, even without an upper bound on the number of households. Moreover, we consider the case where asset markets are left open, and the planner can make lump-sum transfers in a limited number of goods. We show that such a perfectly anticipated wealth redistribution policy, though consistent with the assumed incomplete financial structure, is typically effective.
Constrained Suboptimality with Many Agents
Author: Atsushi Kajii
Publisher:
ISBN:
Category :
Languages : en
Pages : 42
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 42
Book Description
Constrained Suboptimality in Incomplete Markets
Author: Alessandro Citanna
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Book Description
Existence, Regularity, and Constrained Suboptimality of Competitive Allocations when the Asset Market is Incomplete
Author: Heraklis M. Polemarchakis
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 46
Book Description
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 46
Book Description
Pecuniary Externalities of Futures Trading and Constrained Suboptimality
Author: Makoto Yano
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This study investigates the constrained suboptimality of a futures market equilibrium in incomplete markets. It explains the constrained suboptimality in terms of the pecuniary externalities that futures trading may cause by affecting spot relative prices. It presents the decomposition of a pecuniary externality into hedging and speculative factors and, by these factors, characterizes the constrained suboptimality. This characterization gives interpretable sufficient conditions which can exclude, from a futures market equilibrium, Hart's pathology that the opening of a new market makes every agent worse off or, equivalently, that the closing of an existing market makes every agent better off.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
This study investigates the constrained suboptimality of a futures market equilibrium in incomplete markets. It explains the constrained suboptimality in terms of the pecuniary externalities that futures trading may cause by affecting spot relative prices. It presents the decomposition of a pecuniary externality into hedging and speculative factors and, by these factors, characterizes the constrained suboptimality. This characterization gives interpretable sufficient conditions which can exclude, from a futures market equilibrium, Hart's pathology that the opening of a new market makes every agent worse off or, equivalently, that the closing of an existing market makes every agent better off.
Constrained Efficient Allocations in Incomplete Markets
Author: Wan-hsiang Pan
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 158
Book Description
Publisher:
ISBN:
Category : Equilibrium (Economics)
Languages : en
Pages : 158
Book Description
Incomplete Markets and Short-Sales Constraints
Author: Abdelhamid Bizid
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
We consider a general discrete-time dynamic financial market with three assets: a riskless bond, a security and a derivative. The market is incomplete (a priori) and at equilibrium. We assume also that the agents of the economy have short-sales constraints on the stock and that the payoff at the expiry of the derivative asset is a monotone function of the underlying security price. The derivative price process is not identified ex ante. This leads the agents to act as if there were no market for this asset at the intermediary dates. Using some nice properties of the pricing probabilities, which are admissible at the equilibrium, we prove that it suffices to consider the subset of the risk-neutral probabilities that overestimate the low values of the security and underestimate its high values with respect to the true probability. This approach greatly reduces the interval of admissible prices for the derivative asset with respect to no-arbitrage, as showed numerically.
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
We consider a general discrete-time dynamic financial market with three assets: a riskless bond, a security and a derivative. The market is incomplete (a priori) and at equilibrium. We assume also that the agents of the economy have short-sales constraints on the stock and that the payoff at the expiry of the derivative asset is a monotone function of the underlying security price. The derivative price process is not identified ex ante. This leads the agents to act as if there were no market for this asset at the intermediary dates. Using some nice properties of the pricing probabilities, which are admissible at the equilibrium, we prove that it suffices to consider the subset of the risk-neutral probabilities that overestimate the low values of the security and underestimate its high values with respect to the true probability. This approach greatly reduces the interval of admissible prices for the derivative asset with respect to no-arbitrage, as showed numerically.
Pareto Improving Financial Innovation in Incomplete Markets
Author: David Cass
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
Book Description
Constrained Efficient Allocation in Incomplete Markets
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 79
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 79
Book Description
Theory of Incomplete Markets
Author: Michael Magill
Publisher: MIT Press
ISBN: 9780262632546
Category : Business & Economics
Languages : en
Pages : 566
Book Description
Theory of incompl. markets/M. Magill, M. Quinzii. - V.1.
Publisher: MIT Press
ISBN: 9780262632546
Category : Business & Economics
Languages : en
Pages : 566
Book Description
Theory of incompl. markets/M. Magill, M. Quinzii. - V.1.