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Equilibrium existence in the international asset and good markets


  • Stefano Bosi

    (EPEE, University of Evry)

  • Patrice Fontaine

    (Euro?dai, CERAG, University Pierre-Mendes-France, Grenoble)

  • Cuong Le Van

    () (CNRS, Hanoi WRU, VCREME)


The international asset pricing models are mostly developed in the case of parity failure (investors of di?erent countries do not agree on the expected returns on securities). In this case, an equilibrium in the international asset markets may exist, but not in the international good markets. In our paper, we prove the existence of an equilibrium in both the asset and the good markets. We focus also on the links between parities, no-arbitrage conditions and the general equilibrium. We show that no-arbitrage conditions for international asset and good markets are necessary and sufficient to an equilibrium in both the markets.

Suggested Citation

  • Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2013. "Equilibrium existence in the international asset and good markets," Working Papers 16, Development and Policies Research Center (DEPOCEN), Vietnam.
  • Handle: RePEc:dpc:wpaper:1613

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    References listed on IDEAS

    1. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
    2. Frenkel, Jacob A & Mussa, Michael L, 1980. "The Efficiency of Foreign Exchange Markets and Measures of Turbulence," American Economic Review, American Economic Association, vol. 70(2), pages 374-381, May.
    3. Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August.
    4. Rose-Anne Dana & Cuong Le Van, 2007. "Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures," Documents de travail du Centre d'Economie de la Sorbonne b07068, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    5. Frenkel, Jacob A. & Razin, Assaf, 1980. "Stochastic prices and tests of efficiency of foreign exchange markets," Economics Letters, Elsevier, vol. 6(2), pages 165-170.
    6. Page Jr., Frank H. & Wooders, Myrna Holtz, 1996. "A necessary and sufficient condition for the compactness of individually rational and feasible outcomes and the existence of an equilibrium," Economics Letters, Elsevier, vol. 52(2), pages 153-162, August.
    7. Dana, Rose-Anne & Le Van, Cuong & Magnien, Francois, 1999. "On the Different Notions of Arbitrage and Existence of Equilibrium," Journal of Economic Theory, Elsevier, vol. 87(1), pages 169-193, July.
    8. Dana, R.A. & Le Van, C., 2010. "Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling," Journal of Economic Theory, Elsevier, vol. 145(6), pages 2186-2202, November.
    9. Dumas, Bernard, 1992. "Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 153-180.
    10. Allouch, Nizar & Le Van, Cuong & Page, Frank Jr., 2002. "The geometry of arbitrage and the existence of competitive equilibrium," Journal of Mathematical Economics, Elsevier, vol. 38(4), pages 373-391, December.
    11. Page, Frank Jr., 1987. "On equilibrium in Hart's securities exchange model," Journal of Economic Theory, Elsevier, vol. 41(2), pages 392-404, April.
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    14. Jacob A. Frenkel & Michael L. Mussa, 1980. "Efficiency of Foreign Exchange Markets and Measures of Turbulence," NBER Working Papers 0476, National Bureau of Economic Research, Inc.
    15. Werner, Jan, 1987. "Arbitrage and the Existence of Competitive Equilibrium," Econometrica, Econometric Society, vol. 55(6), pages 1403-1418, November.
    16. Hart, Oliver D., 1974. "On the existence of equilibrium in a securities model," Journal of Economic Theory, Elsevier, vol. 9(3), pages 293-311, November.
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    Cited by:

    1. Stefano Bosi & Patrice Fontaine & Cuong Le Van, 2014. "Pareto optima and exchange rates under risk neutrality: A note," Working Papers 2014-101, Department of Research, Ipag Business School.
    2. repec:ipg:wpaper:2014-466 is not listed on IDEAS

    More about this item


    International asset pricing; Returns on securities; Exchange rates; No-arbitrage conditions; PPP; UIRP; General equilibrium;

    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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