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Global Uniqueness and Money Non-neutrality in a Walrasian Dynamics without Rational Expectations

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Gael Giraud
Dimitrios Tsomocos

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Abstract

We define a non-tâtonnement dynamics in continuous-time for pure exchange economies with outside and inside fiat money. Traders are myopic, face a cash-in-advance constraint, and play dominant strategies in a short-run monetary strategic market game involving the limit-price mechanism. The profits of the Bank are redistributed to its private shareholders, but they can use them to pay their own debts in the next period. Provided there is enough inside money, monetary trade curves converge towards Pareto optimal allocations; money has a positive value along each trade curve (except on the optimal rest-point where it becomes a veil while trades vanish), and is neutral in the short-run. Moreover, generically, given initial conditions, there is a piecewise globally unique trade-and-price curve not only in real, but also in nominal variables. Finally, is not neutral in the long-run.

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Paper provided by Oxford Financial Research Centre in its series OFRC Working Papers Series with number 2004fe15.

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Date of creation: 2004
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Handle: RePEc:sbs:wpsefe:2004fe15

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References listed on IDEAS
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.:
  1. Champsaur, P. & Cornet, B., 1989. "Walrasian Exchange Processes," CORE Discussion Papers 1989030, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. M. Shubik & D. Tsomocos, 1992. "A strategic market game with a mutual bank with fractional reserves and redemption in gold," Journal of Economics, Springer, vol. 55(2), pages 123-150, June. [Downloadable!] (restricted)
  3. Weyers, Sonia, 2003. "A strategic market game with limit prices," Journal of Mathematical Economics, Elsevier, vol. 39(5-6), pages 529-558, July. [Downloadable!] (restricted)
  4. Tsomocos, Dimitrios P., 2003. "Equilibrium analysis, banking and financial instability," Journal of Mathematical Economics, Elsevier, vol. 39(5-6), pages 619-655, July. [Downloadable!] (restricted)
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  5. Sahi, Siddhartha & Yao, Shuntian, 1989. "The non-cooperative equilibria of a trading economy with complete markets and consistent prices," Journal of Mathematical Economics, Elsevier, vol. 18(4), pages 325-346, September. [Downloadable!] (restricted)
  6. Peck, James & Shell, Karl, 1991. "Market Uncertainty: Correlated and Sunspot Equilibria in Imperfectly Competitive Economies," Review of Economic Studies, Blackwell Publishing, vol. 58(5), pages 1011-29, October. [Downloadable!] (restricted)
  7. Giraud, Gael, 2003. "Strategic market games: an introduction," Journal of Mathematical Economics, Elsevier, vol. 39(5-6), pages 355-375, July. [Downloadable!] (restricted)
  8. Bottazzi, Jean-Marc, 1994. "Accessibility of Pareto optima by Walrasian exchange processes," Journal of Mathematical Economics, Elsevier, vol. 23(6), pages 585-603, November. [Downloadable!] (restricted)
  9. Mertens, J. F., 2003. "The limit-price mechanism," Journal of Mathematical Economics, Elsevier, vol. 39(5-6), pages 433-528, July. [Downloadable!] (restricted)
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  10. Charles A.E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2003. "A Model to Analyse Financial Fragility," OFRC Working Papers Series 2003fe13, Oxford Financial Research Centre. [Downloadable!]
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  1. Gaël Giraud, 2004. "The limit-price exchange process," Cahiers de la Maison des Sciences Economiques b04118, Université Panthéon-Sorbonne (Paris 1). [Downloadable!]
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