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Financial innovation and price volatility

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Author Info
Alessandro Citanna
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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File URL: http://littlehurt.tepper.cmu.edu/gsiadoc/bighurt/vo051397.ps
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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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