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1.
In a financial economy with asymmetric information and incomplete markets, we study how agents, having no model of how equilibrium
prices are determined, may still refine their information by eliminating sequentially “arbitrage state(s)”, namely, the state(s)
which would grant the agent an arbitrage, if realizable.
相似文献
2.
Jean-Marc Bottazzi 《Economic Theory》2002,20(1):67-82
Summary. In a multiperiod economy with incomplete markets and assets with payoff depending on the price history (e.g., asset and derivatives),
we show that in order to get endowment generic existence of an equilibrium it is not needed to alter settlement features such
as when payments are made and when the asset is traded. This is non-trivial as each such characteristic introduces a non-generic
subclass of financial instruments. We show essentially that expiry date payments are the only payments that one needs perturbing
(if at all). For previous periods - the P&L discovery map - is the one relevant for wealth transfers. This map transfers wealth
between one period and the next by associating to each portfolio next period potential profit and losses as a function of
the revealed information at the node. All present values involved can in general - because of backward induction pricing structure
- be appropriately controlled via expiry payoffs only. This enables us to extend two-period work and introduce Transverse
Financial Structures for multiperiod economies, where one cannot identify the payoffs of financial instruments to the P&L
discovery map (in other words we introduce some financial ingeneering for Transverse Financial Structures). We capitalize
on that difference using unexploited “maturity payout degrees of freedom” and rolling back the uncertainty tree. As an application
of this approach we prove a conjecture by Magill and Quinzii that commodity forward contracts lead to endowment generic existence
of an equilibrium in a multiperiod set-up.
Received: June 25, 1999; revised version: April 4, 2001 相似文献
3.
The paper studies the two period incomplete markets model where assets are claims on state contingent commodity bundles and
there are no bounds on portfolio trading. The important results on the existence of equilibrium in this model assume that
there is a finite number of commodities traded in each spot market and that preferences are given by smooth utility functions.
With these assumptions an equilibrium exists outside an “exceptional” set of assets structures and initial endowments. The
present paper extends these results by allowing for general infinite dimensional commodity spaces in each spot market. These
include all the important commodity spaces studied in the literature on the existence of Walrasian equilibrium—in each spot
market the consumption sets are the positive cone of an arbitrary locally solid Riesz space or of an ordered topological vector
space with order unit or of a locally solid Riesz space with quasi-interior point. The paper establishes that even with our
very general commodity spaces there exists an equilibrium for a “very” dense set of assets structures. Our approach is in
the main convex analytic and the results do not require that preferences be smooth or complete or transitive. The concepts
and techniques studied in this paper have important finite as well as infinite dimensional applications.
This paper has benefited from the comments of Martine Quinzii, Wayne Shafer, Manuel Santos and Yeneng Sun. The research of
C. D. Aliprantis is supported by the NSF Grants SES-0128039, DMS-0437210, and ACI-0325846. The research of R. Tourky is funded
by the Australian Research Council Grant A00103450. 相似文献
4.
Summary. In a three-period finite exchange economy with incomplete financial markets and retrading, we study the effects of the degree of incompleteness and of changes in the financial structure on asset price volatility. In what are essentially no aggregate risk economies, asset price volatility is a sunspot-like phenomenon. If markets are completed by financial innovation, asset price volatility reduction is generic. With aggregate risk, changes in the financial structure affect asset price volatility through a pecuniary externality. Financial innovation which decreases equilibrium price volatility can be crafted under conditions of sufficient market incompleteness. Numerical examples illustrate the role of risk aversion for volatility changes and show that, with or without aggregate risk, reducing the degree of incompleteness per se is not necessarily associated with a volatility reduction.Received: 10 October 2003, Revised: 3 June 2004, JEL Classification Numbers:
C60, D52, G10.
Correspondence to: Alessandro CitannaThis research project stems from and expands previous work circulated as Financial innovation and price volatility, GSIA Working Paper #1996-E30 and Controlling price volatility through financial innovation, Kellogg Working Paper #2002-1338. We thank Herakles Polemarchakis and Chris Telmer for their comments. We are grateful to an anonymous referee for careful reviews of earlier versions. The first author thanks also GSIA - Carnegie Mellon University for the kind hospitality during Fall 2002, when part of this project was completed. 相似文献
5.
Summary. We prove that locally, Walras' law and homogeneity characterize the structure of market excess demand functions when financial
markets are incomplete and assets' returns are nominal. The method of proof is substantially different from all existing arguments
as the properties of individual demand are also different. We show that this result has important implications and is part
of a more general result that excess demand is an essentially arbitrary function not just of prices, but also of the exogenous
parameters of the economy as asset returns, preferences, and endowments. Thus locally the equilibrium manifold, relating equilibrium
prices to these parameters has also no structure.
Received: September 17, 1996; revised version: November 7, 1997 相似文献
6.
We propose an extension of the standard general equilibrium model with production and incomplete markets to situations in
which (i) private investors have limited information on the returns of specific assets, (ii) managers of firms have limited
information on the preferences of individual shareholders. The extension is obtained by the assumption that firms are not
traded directly but grouped into ‘sectorial’ funds. In our model the financial policy of the firm is not irrelevant. We establish
the existence of equilibria and discuss the nature of the inefficiencies introduced by the presence of asymmetric information.
We also illustrate the properties of the model in three simple examples.
We would like to thank Alberto Bisin, Armando Dominioni, Piero Gottardi, Tito Pietra, Paolo Siconolfi, and an anonymous referee
for useful suggestions and comments. 相似文献
7.
Gabrielle Demange 《Economic Theory》2002,20(1):1-27
Summary. This paper defines and studies optimality in a dynamic stochastic economy with finitely lived agents, and investigates the
optimality properties of an equilibrium with or without sequentially complete markets. Various Pareto optimality concepts
are considered, including interim and ex ante optimality. We show that, at an equilibrium with a productive asset (land) and sequentially complete markets, the intervention
of a government may be justified, but only to improve risk sharing between generations. If markets are incomplete, constrained
interim optimality is investigated in two-period lived OLG economies. We extend the optimality properties of an equilibrium with
land and give conditions under which introducing a pay-as-you-go system at an equilibrium would not lead to any Pareto improvement.
Received: October 5, 1998; revised version: April 3, 2001 相似文献
8.
We perform an experiment on a pure coordination game with uncertainty about the payoffs. Our game is closely related to models
that have been used in many macroeconomic and financial applications to solve problems of equilibrium indeterminacy. In our
experiment, each subject receives a noisy signal about the true payoffs. This game (inspired by the “global” games of Carlsson
and van Damme, Econometrica, 61, 989–1018, 1993) has a unique strategy profile that survives the iterative deletion of strictly dominated strategies (thus a unique Nash
equilibrium). The equilibrium outcome coincides, on average, with the risk-dominant equilibrium outcome of the underlying
coordination game. In the baseline game, the behavior of the subjects converges to the theoretical prediction after enough
experience has been gained. The data (and the comments) suggest that this behavior can be explained by learning. To test this
hypothesis, we use a different game with incomplete information, related to a complete information game where learning and
prior experiments suggest a different behavior. Indeed, in the second treatment, the behavior did not converge to equilibrium
within 50 periods in some of the sessions. We also run both games under complete information. The results are sufficiently
similar between complete and incomplete information to suggest that risk-dominance is also an important part of the explanation.
相似文献
9.
Summary. We consider a monetary growth model essentially identical to that of Diamond (1965) and Tirole (1985), except that we explicitly
model credit markets, a credit market friction, and an allocative function for financial intermediaries. These changes yield
substantially different results than those obtained in more standard models. In particular, if any monetary steady state equilibria
exist, there are generally two of them; one of these has a low capital stock and output level, and it is necessarily a saddle.
The other steady state has a high capital stock and output level; either it is necessarily a sink, or its stability properties
depend on the rate of money creation. It follows that monetary equilibria can be indeterminate, and nonconvergence phenomena
can be observed. Increases in the rate of money creation reduce the capital stock in the high-capital-stock steady state.
If the high-capital-stock steady state is not a sink for all rates of money growth, then increases in the rate of money growth
can induce a Hopf bifurcation. Hence dynamical equilibria can display damped oscillation as a steady state equilibrium is
approached, and limit cycles can be observed as well. In addition, in the latter case, high enough rates of inflation induce
the kinds of “crises” noted by Bruno and Easterly (1995): when inflation is too high there are no equilibrium paths approaching
the high-activity steady state.
Received: November 18, 1995; revised version: March 26, 1996 相似文献
10.
The economic effects of restrictions on government budget deficits: imperfect private credit markets
Summary. The present paper is an extension of Ghiglino and Shell [7] to the case of imperfect consumer credit markets. We show that
with constraints on individual credit and only anonymous (i.e., non-personalized) lump-sum taxes, strong (or “global”) irrelevance
of government budget deficits is not possible, and weak (or “local”) irrelevance can hold only in very special situations.
This is in sharp contrast to the result for perfect credit markets. With credit constraints and anonymous consumption taxes,
weak irrelevance holds if the number of tax instruments is sufficiently large and at least one consumer's credit constraint
is not binding. This is an extension of the result for perfect credit markets.
Received: August 28, 2001; revised version: March 25, 2002
RID="*"
ID="*" We thank Todd Keister, Bruce Smith, and two referees for helpful comments.
Correspondence to: C. Ghiglino 相似文献
11.
European policy makers, notably in the euro area, seem to take for granted that the electorate will punish them for bold reform
in product and labour markets. This may explain why progress in the euro area has been comparatively limited. This paper posits
and, using a dataset for 21 OECD countries, shows that this fear of electoral backlashes is unfounded, provided that financial
markets work well. The mechanisms involved are relatively straightforward: well functioning financial markets “bring forward”
future yields of structural reform to the present, thus permitting to overcome possible short-run costs. As a result, the
electorate tend to reward, not punish, reformist governments. This has important implications for the design of structural
reform packages, with financial market reforms being an essential ingredient beside product and labour market reforms.
相似文献
Paul van den NoordEmail: |
12.
Two-sided Markets,Competitive Bottlenecks and Exclusive Contracts 总被引:12,自引:0,他引:12
We provide a framework for analyzing two-sided markets that allows for different degrees of product differentiation on each
side of the market. When platforms are viewed as homogenous by sellers but heterogeneous by buyers, we show that “competitive
bottlenecks” arise endogenously. In equilibrium, platforms do not compete directly for sellers, instead choosing to compete
indirectly by subsidizing buyers to join. Sellers are left with none of the gains from trade. Despite this, it is sellers
who choose to purchase from multiple platforms (multihome). Finally, the role of exclusive contracts to prevent multihoming
is explored.
We are very grateful to Jose Miguel Abito for research assistance, and to the editor and a referee for helpful comments. 相似文献
13.
Felix Kubler 《Economic Theory》2001,18(1):73-96
Summary. There are a wide variety of theoretical general equilibrium models with incomplete security markets. In this paper we give
a general recipe for using homotopy algorithm to compute equilibria in these models. In many models, taxes, transaction-costs
or other market frictions introduce the additional difficulty that equilibrium prices or choices (but not equilibrium allocations)
may be undetermined. In order to demonstrate how these difficulties can be dealt with, we develop a globally convergent algorithm
to compute equilibria in a model with cash-in-advance constraints, several goods and incomplete financial markets. Furthermore
we describe how to implement the algorithm using a publicly available suite of subroutines for homotopy-pathfollowing.
Received: October 1, 1999; revised version: December 16, 2000 相似文献
14.
Commitment to a strategy of uniform pricing in a two-period duopoly with switching costs 总被引:1,自引:0,他引:1
This paper studies decisions by firms of whether to attempt “behavior-based” price discrimination in markets with switching
costs by using a two-period duopoly model. When both firms commit themselves to a pricing policy and consumers are “sophisticated”
and have rational expectations, there is a dominant strategy equilibrium with both firms engaging in uniform pricing. Both
firms are better off in the uniform pricing equilibrium, compared with the discriminatory equilibrium.
相似文献
15.
Tilman Klumpp 《Economic Theory》2007,33(3):437-456
This paper investigates the incentives for informed traders in financial markets to reveal their information truthfully to
the public. In the model, a subset of traders receive noisy signals about the value of a risky asset. The signals are composed
of a directional component (“high” vs. “low”) as well as a precision component that represents the quality of the directional
component. Between trading periods, the informed agents make public announcements to the uninformed traders. With a sufficiently
large number of informed traders, an equilibrium exists in which the directional components are credibly revealed, but not
the precision components. Even though the informed traders retain some of their rivate information, the post-communication
estimate of the asset value converges in probability to the full-information estimate as the number of informed traders increases.
The paper is based on a chapter of my Ph.D. thesis at the University of Western Ontario and was circulated previously under
the title “Public Communication Devices in Financial Markets.” I thank my dissertation committee Arthur Robson, Hari Govindan,
and Al Slivinski for their guidance and support. I also thank Murali Agastya, Roland Benabou, Philippe Grégoire, Rick Harbaugh,
Mike Peters, an anonymous referee and an associate editor, and seminar participants at various universities and conferences
at which this paper was presented. 相似文献
16.
The most fundamental proposition about growth and competition is that there is a tradeoff between static welfare and long-term
growth. This paper reconsiders this basic proposition in an expanding variety endogenous growth model with competitive markets
for “old” innovative products and for a traditional good. We shed light on some implications of monopolistic distortions which
tend to be ignored by standard models. First, no growth may be better than some growth, since modest positive growth potentially
requires sizeable static welfare losses. Second, the economy may converge to a steady state with zero growth, even though
a locally saddle-point stable steady state with positive growth exists if the initial share of “cheap” competitive markets
is sufficiently high, as this implies a relatively low demand for “expensive” innovative goods. Third, such a “no-growth trap”
may happen in a world economy made up of several countries engaged in free trade with each other. The policy implications
are that growth-enhancing policies may be misguided and that quick deregulation as well as quick trade liberalization can
lead to stagnation in the long term.
相似文献
17.
Kevin X.D. Huang 《Economic Theory》2002,20(1):189-198
Summary. We develop a theory of valuation of assets in sequential markets over an infinite horizon and discuss implications of this
theory for equilibrium under various portfolio constraints. We characterize a class of constraints under which sublinear valuation
and a modified present value rule hold on the set of non-negative payoff streams in the absence of feasible arbitrage. We
provide an example in which valuation is non-linear and the standard present value rule fails in incomplete markets. We show
that linearity and countable additivity of valuation hold when markets are complete. We present a transversality constraint
under which valuation is linear and countably additive on the set of all payoff streams regardless of whether markets are
complete or incomplete.
Received: March 9, 2000; revised version: February 13, 2001 相似文献
18.
In this paper we discuss the desirability of service trade liberlization in the presence of incompleteness of markets where
there is both inter-spatial and intertemporal trade between countries. We use numerical simulation methods for insights and
relate our discussion to the General Agreement on Trade in Services (GATS) in the WTO. We interpret the absence of intertemporal
trade as an absence of intermediation services provided by both domestic and foreign service providers. For simplicity, we
consider extreme cases where intertemporal intermediation services can only be provided by domestic providers, so that when
intertemporal trade in services is not allowed, markets are not complete. To our knowledge, this type of models is not used
in the trade literature as general comparative statics results are unavailable. We first consider the liberalization of trade
in financial services in an inter-spatial and intertemporal model of two countries, and we show how services liberalization
can be welfare worsening in the presence of a tariff on spatial trade in goods. We show that this can hold in an artificial
world with no domestic financial services provider. We compare financial service trade autarky in which there is no intermediation
to financial service trade liberalization which involves costless intertemporal intermediation provided by foreign service
providers. We also consider a more complex (and realistic) world where costly intermediation services can be provided by both
domestic and foreign providers.
This paper draws in part on material of an earlier paper, “Financial Services Trade Liberalization in A Joint Spatial Intertemporal
Multi-Country Model” by Huang et al. (2004). We acknowledge the financial support from The Centre for Intentional Governance
Innovation (CIGI), Waterloo, Canada and from National Social Science Foundation of China (SSFC Grant 07AJL002), National Natural
Science Foundation of China (NSFC Grant 70825003) and “Humanities and Social Science” Major Project, Chinese Ministry of Education
(Grant Number 07JJD790145). 相似文献
19.
David Cass 《Economic Theory》1992,2(3):341-358
Summary This paper examines the effects of extrinsic uncertainty or sunspots on competitive equilibrium when financial markets are incomplete. For the canonical two-period, pure-exchange model with bonds (or so-called nominal assets, yielding fixed overall returns specified in units of account, and including pure inside money), the following result is established: Generically in endowments, if there areS sunspot states in the second period, but only 0<I<S distinct types of bonds, then — corresponding to the inherent deficiency in the financial markets — sunspots will generateD=S–I dimensions of consumption allocation or real (as well as spot price or nominal) indeterminacy. 相似文献
20.
Summary. We show that Arrow-Debreu equilibria with countably additive prices in infinite-time economy under uncertainty can be implemented by trading infinitely-lived securities in complete sequential markets under two different portfolio feasibility constraints: wealth constraint, and essentially bounded portfolios. Sequential equilibria with no price bubbles implement Arrow-Debreu equilibria, while those with price bubbles implement Arrow-Debreu equilibria with transfers. Transfers are equal to price bubbles on initial portfolio holdings. Price bubbles arise in sequential equilibrium under the wealth constraint if some securities are in zero supply or negative prices are permitted, but cannot arise with essentially bounded portfolios.Received: 19 November 2003, Revised: 24 February 2004, JEL Classification Numbers:
D50, G12, E44.Correspondence to: Jan WernerWe acknowledge helpful discussions with Roko Aliprantis, Subir Chattopaydhyay, Steve LeRoy, Manuel Santos, and seminar participants at Brown University, University of Pennsylvania, NBER Workshop in General Equilibrium Theory, SITE 2000, the 2000 World Congress of the Econometric Society, and Federal Reserve Bank of Kansas City. The views expressed herein are those of the authors and do not necessarily reflect the views of Federal Reserve Bank of Kansas City or the Federal Reserve System. 相似文献