This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
On the Range of the Risk-Free Interest Rate in Incomplete Markets Author info | Abstract | Publisher info | Download info | Related research | Statistics Kajii, A.
Hara, C.
Additional information is available for the following
registered author(s):
In a model of a two-period exchange economy under uncertainty, we find both upper and lower bounds for the risk free interest rate when the agents’ utility function exhibit constant absolute risk aversion. These bounds are independent of the degree of market incompleteness, and so these results show to what extent market incompleteness can explain the risk-free rate puzzle in this class of general equilibrium models with heterogeneous agents. A general method of finding bounds without the assumption of constant absolute risk aversion is also presented.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number
0030.
Download reference. The following formats are available: HTML ,
plain text ,
BibTeX ,
RIS (EndNote),
ReDIF
Length:
Date of creation: Dec 2000Date of revision:
Handle: RePEc:cam:camdae:0030Note: MaContact details of provider: Web page: http://www.econ.cam.ac.uk/index.htm
For technical questions regarding this item, or to correct its listing, contact: (Howard Cobb).
Keywords: Other versions of this item:
References listed on IDEAS 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.: Tyge Nielsen, Lars, 1993.
"The expected utility of portfolios of assets ,"
Journal of Mathematical Economics ,
Elsevier, vol. 22(5), pages 439-461.
[Downloadable!] (restricted)
David K. Levine & William Zame, 2001.
"Does Market Incompleteness Matter ,"
Levine's Working Paper Archive
78, UCLA Department of Economics.
[Downloadable!]
Other versions: Kimball, Miles S, 1990.
"Precautionary Saving in the Small and in the Large ,"
Econometrica ,
Econometric Society, vol. 58(1), pages 53-73, January.
[Downloadable!] (restricted)
Other versions: Ohashi Kazuhiko, 1995.
"Endogenous Determination of the Degree of Market-Incompleteness in Futures Innovation ,"
Journal of Economic Theory ,
Elsevier, vol. 65(1), pages 198-217, February.
[Downloadable!] (restricted)
Demange Gabrielle & Laroque Guy, 1995.
"Private Information and the Design of Securities ,"
Journal of Economic Theory ,
Elsevier, vol. 65(1), pages 233-257, February.
[Downloadable!] (restricted)
Other versions:
Gabrielle Demange & Guy Laroque, 1993.
"Private Information and the Design of Securities ,"
CEPR Financial Markets Paper
0036, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 53--56 Great Sutton Street, London EC1V 0DG.
Demange, G. & Laroque, G., 1993.
"Private Information and the Design of Securities ,"
Papers
9334, Institut National de la Statistique et des Etudes Economiques-.
Demange, G. & Laroque, G., 1992.
"Private Information and the Design of Securities ,"
DELTA Working Papers
92-22, DELTA (Ecole normale supérieure).
Rahi Rohit, 1995.
"Optimal Incomplete Markets with Asymmetric Information ,"
Journal of Economic Theory ,
Elsevier, vol. 65(1), pages 171-197, February.
[Downloadable!] (restricted)
Philippe Weil, 1992.
"Equilibrium Asset Prices With Undiversifiable Labor Income Risk ,"
NBER Working Papers
3975, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Weil, P., 1991.
"Equilibrium Asset Prices with Undiversifiable Labor Income Risk ,"
Harvard Institute of Economic Research Working Papers
1564, Harvard - Institute of Economic Research.
Weil, Philippe, 1992.
"Equilibrium asset prices with undiversifiable labor income risk ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 16(3-4), pages 769-790.
[Downloadable!] (restricted) David K Levine & William R Zame, 2000.
"Risk Sharing and Market Incompleteness ,"
Levine's Working Paper Archive
2080, UCLA Department of Economics.
[Downloadable!]
Elul, Ronel, 1997.
"Financial innovation, precautionary saving and the risk-free rate ,"
Journal of Mathematical Economics ,
Elsevier, vol. 27(1), pages 113-131, February.
[Downloadable!] (restricted)
Narayana R. Kocherlakota, 1996.
"The Equity Premium: It's Still a Puzzle ,"
Journal of Economic Literature ,
American Economic Association, vol. 34(1), pages 42-71, March.
[Downloadable!] (restricted)
Other versions:
Full
references
Access and
download statistics Did you know? You too can volunteer for RePEc, for example by encouraging others to register as authors .
This page was last updated on 2008-9-28.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .