Heterogeneous preferences and equilibrium trading volume |
| |
Authors: | Tony Berrada Julien Hugonnier Marcel Rindisbacher |
| |
Institution: | 1. Swiss Finance Institute, University of Geneva, Geneva, 1211, Switzerland;2. Swiss Finance Institute, University of Lausanne, Lausanne, 1007, Switzerland;3. J.L. Rotman School of Managment, University of Toronto, ON, Canada M5S 3E6 |
| |
Abstract: | The representative-agent Lucas model stresses aggregate risk and hence does not allow us to study the impact of agents’ heterogeneity on the dynamics of equilibrium trading volume. In this paper, we investigate under what conditions non-informational heterogeneity, i.e., differences in preferences and endowments, leads to nontrivial trading volume in equilibrium. We present a non-informational no-trade theorem that provides necessary and sufficient conditions for zero equilibrium trading volume in a continuous-time Lucas market model with heterogeneous agents, multiple goods, and multiple securities. We explain in detail how no-trade equilibria are related to autarky equilibria, portfolio autarky equilibria, and peculiar financial market equilibria, which play an important role in the literature on international risk sharing. |
| |
Keywords: | G12 G14 |
本文献已被 ScienceDirect 等数据库收录! |
|