Effectively Complete Asset Markets with Multiple Goods and over Multiple Periods
AbstractFollowing 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 685.
Date of creation: Nov 2009
Date of revision:
Contact details of provider:
Postal: Yoshida-Honmachi, Sakyo-ku, Kyoto 606-8501
Web page: http://www.kier.kyoto-u.ac.jp/eng/index.html
More information through EDIRC
Complete markets; effectively complete markets; welfare theorems; sunspot; Markov environment;
Find related papers by JEL classification:
- D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- D61 - Microeconomics - - Welfare Economics - - - Allocative Efficiency; Cost-Benefit Analysis
- D91 - Microeconomics - - Intertemporal Choice and Growth - - - Intertemporal Consumer Choice; Life Cycle Models and Saving
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-11-27 (All new papers)
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.:
- Kenneth L. Judd & Felix Kubler & Karl Schmedders, 2000.
"Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents,"
1294, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Kenneth L. Judd & Felix Kubler & Karl Schmedders, 2003. "Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents," Journal of Finance, American Finance Association, vol. 58(5), pages 2203-2218, October.
- 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, June.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Akihisa Shibata).
If references are entirely missing, you can add them using this form.