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Theory of Incomplete Markets, Volume 1

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Author Info
Michael Magill () (University of Southern California)
Martine Quinzii () (University of California, Davis)

Additional information is available for the following registered author(s):

Abstract

The Theory of Incomplete Markets provides a unified framework for analyzing the real, financial, and monetary sectors of an economy. It describes an innovative theory that takes into account the fact that in order to coordinate their activities and share their risks, agents are forced by the imperfections in their knowledge and their propensity for opportunistic behavior to trade sequentially and to make only limited contractual commitments into the future. This book studies the consequences of trading with such a sequential and incomplete market structure for the equilibria of an economy: competitive markets no longer provide the ideal way of allocating resources and even with rational expectations monetary policy is nonneutral.

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Publisher Info
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This book is provided by The MIT Press in its series MIT Press Books with number 0262632543 and published in 2002.

Volume: 1
Edition: 1
ISBN: 0-262-63254-3
Handle: RePEc:mtp:titles:0262632543

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Web page: http://mitpress.mit.edu

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Related research
Keywords: incomplete markets; monetary policy;

Other versions of this item:

Find related papers by JEL classification:
G1 - Financial Economics - - General Financial Markets
B0 - Schools of Economic Thought and Methodology - - General
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Michail Anthropelos & Nikolaos E. Frangos & Stylianos Z. Xanthopoulos & Athanasios N. Yannacopoulos, 2008. "On contingent claims pricing in incomplete markets: A risk sharing approach," Quantitative Finance Papers 0809.4781, arXiv.org. [Downloadable!]
  2. Robert M. Anderson & Roberto C. Raimondo, 2003. "Market Clearing and Derivative Pricing," Discussion Papers 03-17, University of Copenhagen. Department of Economics. [Downloadable!]
  3. Alexander Mihailov, 2003. "Effects of the Exchange-Rate Regime on Trade under Monetary Uncertainty: The Role of Price Setting," Economics Discussion Papers 566, University of Essex, Department of Economics. [Downloadable!]
  4. Bernard Dumas & Andrew Lyasoff, 2008. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," NBER Working Papers 14629, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Gregory K. Dow & Gilbert L. Skillman, 2005. "Collective Choice and Control Rights in Firms," Microeconomics 0509003, EconWPA. [Downloadable!]
    Other versions:
  6. Bernard Dumas & Pascal Maenhout, 2002. "A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium," Levine's Working Paper Archive 391749000000000523, David K. Levine. [Downloadable!]
  7. Rabah Amir & Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2002. "Market Selection and Survival of Investment Strategies," Discussion Papers 02-16, University of Copenhagen. Department of Economics. [Downloadable!]
    Other versions:
  8. Kenneth L. Judd & Sy-Ming Guu, 2001. "Asymptotic Methods for Asset Market Equilibrium Analysis," NBER Working Papers 8135, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  9. Yue Ma, 2008. "Incomplete financial market and the sequence of international trade liberalization," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(1), pages 108-117. [Downloadable!]
  10. Mercedes Esteban-Bravo, 2004. "An Interior Point Algorithm For Computing Equilibria In Economies With Incomplete Asset Markets," Business Economics Working Papers wb046023, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  11. Eduardo Siandra, 2002. "The Economics of financial Matching," Documentos de Trabajo (working papers) 1002, Department of Economics - dECON. [Downloadable!]
  12. Dumas, Bernard J & Lyasoff, Andrew, 2009. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," CEPR Discussion Papers 7138, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  13. Marco Celentani & J. Ignacio Conde-Ruiz & Klaus Desmet, . "Inflation in open economies with complete markets," Working Papers 2004-12, FEDEA. [Downloadable!]
    Other versions:
  14. Franklin Allen & Douglas Gale, 2003. "Financial Fragility, Liquidity and Asset Prices," Center for Financial Institutions Working Papers 01-37, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  15. Haim Levy & Enrico De Giorgi & Thorsten Hens, . "Prospect Theory and the CAPM: A contradiction or coexistence?," IEW - Working Papers iewwp157, Institute for Empirical Research in Economics - IEW. [Downloadable!]
  16. Michael Magill, 2000. "Equity, Options and Efficiency in the Presence of Moral Hazard," Econometric Society World Congress 2000 Contributed Papers 1845, Econometric Society. [Downloadable!]
  17. Roberto C. Raimondo, 2003. "Hart Effect And Equilibrium In Incomplete Markets I," Department of Economics - Working Papers Series 876, The University of Melbourne. [Downloadable!]
  18. Chaiki Hara & Atsushi Kajii, 2004. "Risk-Free Bond Prices in Incomplete Markets with Recursive Utility Functions and Multiple Beliefs," KIER Working Papers 590, Kyoto University, Institute of Economic Research. [Downloadable!]
  19. Frank Niehaus, 2000. "A Simple Option Pricing Model With Heterogeneous Agents," Computing in Economics and Finance 2000 342, Society for Computational Economics. [Downloadable!]
  20. Rodolfo Apreda, 2001. "The Brokerage of Asymmetric Information," CEMA Working Papers: Serie Documentos de Trabajo. 190, Universidad del CEMA. [Downloadable!]
  21. Alexander Mihailov, 2004. "Effects of the exchange-rate regime on trade: the role of price setting," Money Macro and Finance (MMF) Research Group Conference 2003 66, Money Macro and Finance Research Group. [Downloadable!]
  22. Hoog S. van der, 2005. "On the Micro-Dynamics of a Cash-in-Advance Economy (revised version of WP 04-12)," CeNDEF Working Papers 05-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
  23. Alessandro, CITANNA, 1999. "Financial Innovation and Price Volatility," Les Cahiers de Recherche 685, HEC Paris. [Downloadable!]
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