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Financial innovation and price volatility

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  • Alessandro Citanna
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    Abstract

    In a two-period finite competitive exchange economy with incomplete financial markets and retrading, we show the generic existence of financial innovation which decreases equilibrium price volatility (as well as innovation which increases it). The existence

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    Bibliographic Info

    Paper provided by Carnegie Mellon University, Tepper School of Business in its series GSIA Working Papers with number 9.

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    Date of creation: Nov 1996
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    Handle: RePEc:cmu:gsiawp:9

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    Postal: Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213-3890
    Web page: http://www.tepper.cmu.edu/

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    Web: http://student-3k.tepper.cmu.edu/gsiadoc/GSIA_WP.asp

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    Cited by:
    1. Zapatero, Fernando, 1998. "Effects of financial innovations on market volatility when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 22(4), pages 597-626, April.

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