Optimal Incomplete Markets with Asymmetric Information PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Optimal Incomplete Markets with Asymmetric Information PDF full book. Access full book title Optimal Incomplete Markets with Asymmetric Information by Rohit Rahi. Download full books in PDF and EPUB format.
Author: Rohit Rahi
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This paper analyzes a simple parametric model of endogenously determined incomplete futures markets, focusing on their role in allocating risk and transmitting private information. It characterizes market structures that are constrained efficient in the sense that no other market structure, with the same number of assets, leads to a Pareto-dominating allocation in equilibrium. Necessary conditions for constrained efficiency are (a) hedging efficiency (the hedging quality of futures contracts cannot be improved for one agent without reducing it for another, and (b) informational efficiency (the informational content of futures prices cannot be increased for one agent without diminishing it for another). Explicit characterizations are obtained for these notions of efficiency. It is shown that, under certain conditions, the market structure determined by volume-maximizing futures is informationally efficient and, in the case of a single futures contract, hedging-efficient as well.
Author: Rohit Rahi
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
This paper analyzes a simple parametric model of endogenously determined incomplete futures markets, focusing on their role in allocating risk and transmitting private information. It characterizes market structures that are constrained efficient in the sense that no other market structure, with the same number of assets, leads to a Pareto-dominating allocation in equilibrium. Necessary conditions for constrained efficiency are (a) hedging efficiency (the hedging quality of futures contracts cannot be improved for one agent without reducing it for another, and (b) informational efficiency (the informational content of futures prices cannot be increased for one agent without diminishing it for another). Explicit characterizations are obtained for these notions of efficiency. It is shown that, under certain conditions, the market structure determined by volume-maximizing futures is informationally efficient and, in the case of a single futures contract, hedging-efficient as well.
Author: John Eatwell
Publisher: Springer
ISBN: 1349202150
Category : Business & Economics
Languages : en
Pages : 321
Get Book Here
Book Description
This is an extract from the 4-volume dictionary of economics, a reference book which aims to define the subject of economics today. 1300 subject entries in the complete work cover the broad themes of economic theory. This volume concentrates on the topic of allocation information and markets.
Author: Alessandro Citanna
Publisher:
ISBN:
Category :
Languages : en
Pages : 44
Get Book Here
Book Description
Author: Indian Economic Association. Annual Conference
Publisher: Deep and Deep Publications
ISBN: 9788176298261
Category : Business & Economics
Languages : en
Pages : 248
Get Book Here
Book Description
Contributed papers presented at the one of the technical sessions of Indian Economic Association's 85th conference held at the Kerala University in 2002.
Author: David Cass
Publisher:
ISBN:
Category :
Languages : en
Pages : 48
Get Book Here
Book Description
Author: Atsushi Kajii
Publisher:
ISBN:
Category :
Languages : en
Pages : 74
Get Book Here
Book Description
Author: Antonio Villanacci
Publisher: Springer Science & Business Media
ISBN: 9781402072017
Category : Business & Economics
Languages : en
Pages : 516
Get Book Here
Book Description
Local uniqueness and smooth dependence of the endogenous variables from the exogenous ones are studied using a version of a so-called parametric transversality theorem. In a standard general equilibrium model, all equilibria are efficient, but that is not the case if some imperfection, like incomplete markets, asymmetric information, strategic interaction, is added. Then, for almost all economies, equilibria are inefficient, and an outside institution can Pareto improve upon the market outcome. Those results are proved showing that a well-chosen system of equations has no solutions."
Author: Mr.Giovanni Dell'Ariccia
Publisher: International Monetary Fund
ISBN: 145195154X
Category : Business & Economics
Languages : en
Pages : 32
Get Book Here
Book Description
The paper analyzes the effects of informational asymmetries on the market structure of the banking industry in a multi-period model of spatial competition. All lenders face uncertainty with regard to borrowers’ creditworthiness, but, in the process of lending, incumbent banks gather proprietary information about their clients, acquiring an advantage over potential entrants. These informational asymmetries are an important determinant of the industry structure and may represent a barrier to entry for new banks. The paper shows that, in contrast with traditional models of horizontal differentiation, the steady-state equilibrium is characterized by a finite number of banks even in the absence of fixed costs.
Author: Atsushi Kajii
Publisher:
ISBN:
Category :
Languages : en
Pages : 56
Get Book Here
Book Description
Author: Peter A. Diamond
Publisher: Rowman & Littlefield
ISBN: 0815797834
Category : Political Science
Languages : en
Pages : 322
Get Book Here
Book Description
New in Paperback. While everyone agrees that Social Security is a vital and necessary government program, there have been widely divergent plans for reforming it. Peter A. Diamond and Peter R. Orszag, two of the nation's foremost economists, propose a reform plan that would rescue the program both from its projected financial problems and from those who would destroy the program in order to save it. Since the publication of the first edition of this book in 2004, the Social Security debate has moved to the center of the domestic policy agenda. In this updated edition of Saving Social Security, the authors analyze the Bush Administration's proposal for individual accounts and discuss the so-called "price indexing" proposal to restore long-term solvency through changing how initial benefits would be calculated. Soc ial Security is essis essential reading for policymakers involved in reform, analysts, students, and all those interested in the fate of this safeguard of American lives. "An honest, transparent and comprehensive approach to making the much needed reforms to the Social Security program."—Journal of Pensions, Economics, and Finance "Very accessible presentation of facts, analysis of underlying problems, comparison of opinions, and argument for proposed reforms."—Future Survey Exhaustively researched and deeply entrenched in practical issues and mathematical calculations... a highly recommended ray of hope against a looming national crisis." —Wisconsin Bookwatch "Diamond and Orszag bring some welcome realism and decency to the debate."—Robert M. Solow, Institute Professor Emeritus, Massachusetts Institute of Technology, Nobel Laureate in Economics
