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The structure of the set of sunspot equilibria in economies with incomplete financial markets

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  • Pietra, T.

Abstract

This paper considers the set of equilibria of two-period, sunspot economies with "S" purely extrinsic states of nature in the second period and "I" assets with linearly independent nominal payoffs. The span of the payoff matrix contains the vector [1, . . . ,1] (i.e., inside money). The set of economies is described in terms of (sunspot-invariant) utility functions. If "S" > "I" > O, there is an open, dense set of economies such that, given a vector of no arbitrage asset prices, the set of equilibrium allocations contains a smooth manifold of dimension "S"-"I". Such a manifold contains at least one nonsunspot equilibrium (and at most a finite number of such equilibria).

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Bibliographic Info

Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 1991032.

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Date of creation: 01 Jan 1991
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Handle: RePEc:cor:louvco:1991032

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Cited by:
  1. Alessandro Citanna & Karl Schmedders, 2002. "Controlling Price Volatility Through Financial Innovation," Discussion Papers 1338, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. Atsushi Kajii, 2006. "Welfare Gains and Losses in Sunspot Equilibria," KIER Working Papers 624, Kyoto University, Institute of Economic Research.
  3. Atsushi Kajii, . ""The Sequential Regularity of Competitive Equilibria and Sunspots''," CARESS Working Papres 95-11, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
  4. Pietra, Tito & Siconolfi, Paolo, 1997. "Extrinsic Uncertainty and the Informational Role of Prices," Journal of Economic Theory, Elsevier, vol. 77(1), pages 154-180, November.
  5. Donati, Paola & Momi, Takeshi, 2003. "Indeterminacy of rational expectations equilibria in sequential financial markets," Journal of Mathematical Economics, Elsevier, vol. 39(7), pages 743-762, September.
  6. Kajii, Atsushi, 1998. "Sunspots and the Sequential Regularity of Competitive Equilibria," Journal of Economic Theory, Elsevier, vol. 78(1), pages 187-194, January.

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