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Effectively Complete Asset Markets with Multiple Goods and over Multiple Periods

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  • Chiaki Hara

    ()
    (Institute of Economic Research, Kyoto University)

Abstract

Following LeRoy and Werner (2001), we propose a definition of effectively complete asset markets in a model with multiple goods and multiple periods, and establish the first and second welfare theorems in such markets. As applications of the first welfare theorem, we derive the sunspot irrelevance theorem of Mas-Colell (1992), and extend the no-retrade theorem of Judd, Kubler, and Schmedders (2003) and Kubler and Schmedders (2003) to the case where the asset prices need not be time-invariant Markov processes.

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File URL: http://www.kier.kyoto-u.ac.jp/DP/DP685.pdf
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Bibliographic Info

Paper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 685.

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Length: 16pages
Date of creation: Nov 2009
Date of revision:
Handle: RePEc:kyo:wpaper:685

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Keywords: Complete markets; effectively complete markets; welfare theorems; sunspot; Markov environment;

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  1. Kenneth L. Judd & Felix Kubler & Karl Schmedders, 2000. "Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents," Discussion Papers 1294, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. Felix Kubler & Karl Schmedders, 2003. "Generic inefficiency of equilibria in the general equilibrium model with incomplete asset markets and infinite time," Economic Theory, Springer, vol. 22(1), pages 1-15, 08.
  3. Partha Dasgupta & Douglas Gale & Oliver Hart & Eric Maskin (ed.), 1992. "Economic Analysis of Markets and Games: Essays in Honor of Frank Hahn," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262541599, December.
  4. Elul, Ronel, 1999. "Effectively complete equilibria--A note," Journal of Mathematical Economics, Elsevier, vol. 32(1), pages 113-119, August.
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