Controlling Price Volatility Through Financial Innovation
In this paper, the authors study the possibility of controlling asset price volatility through financial innovation in a three-period finite competitive exchange economy with incomplete financial markets and retrading.
(This abstract was borrowed from another version of this item.)
|Date of creation:||Jan 2002|
|Date of revision:|
|Contact details of provider:|| Postal: Center for Mathematical Studies in Economics and Management Science, Northwestern University, 580 Jacobs Center, 2001 Sheridan Road, Evanston, IL 60208-2014|
Web page: http://www.kellogg.northwestern.edu/research/math/
More information through EDIRC
|Order Information:|| Email: |
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.:
- Zapatero, Fernando, 1998. "Effects of financial innovations on market volatility when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 22(4), pages 597-626, April.
- Elul Ronel, 1995. "Welfare Effects of Financial Innovation in Incomplete Markets Economies with Several Consumption Goods," Journal of Economic Theory, Elsevier, vol. 65(1), pages 43-78, February.
- Laurent-Emmanuel Calvet, 2001.
"Incomplete Markets and Volatility,"
- Laurent E. Calvet, 1999. "Incomplete Markets and Volatility," Harvard Institute of Economic Research Working Papers 1865, Harvard - Institute of Economic Research.
- Tito Pietra, 2001. "The set of sunspot equilibria in economies with incomplete financial markets: variable asset prices," Economic Theory, Springer, vol. 18(3), pages 649-659.
- David Cass & Alessandro Citanna, 1998.
"Pareto Improving Financial Innovation in Incomplete Markets,"
- David Cass & Alessandro Citanna, 1998. "Pareto improving financial innovation in incomplete markets," Economic Theory, Springer, vol. 11(3), pages 467-494.
- Siconolfi, P & Villanacci, A, 1991. "Real Indeterminacy in Incomplete Financial Market Economies without Aggregate Risk," Economic Theory, Springer, vol. 1(3), pages 265-76, July.
- Gyutaeg Oh, 1996. "Some Results in the CAPM with Nontraded Endowments," Management Science, INFORMS, vol. 42(2), pages 286-293, February.
- Kubler, Felix & Schmedders, Karl, 2000. "Computing Equilibria in Stochastic Finance Economies," Computational Economics, Society for Computational Economics, vol. 15(1-2), pages 145-72, April.
- Mas-Colell,Andreu, 1985.
"The Theory of General Economic Equilibrium,"
Cambridge University Press, number 9780521265140, June.
- Telmer, Chris I, 1993.
" Asset-Pricing Puzzles and Incomplete Markets,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1803-32, December.
- Detemple, Jerome B & Selden, Larry, 1991. "A General Equilibrium Analysis of Option and Stock Market Interactions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 32(2), pages 279-303, May.
- Cass, David, 1992. "Sunspots and Incomplete Financial Markets: The General Case," Economic Theory, Springer, vol. 2(3), pages 341-58, July.
- Rios-Rull, Jose-Victor, 1994. "On the quantitative importance of market completeness," Journal of Monetary Economics, Elsevier, vol. 34(3), pages 463-496, December.
- Alessandro Citanna & Atsushi Kajii & Antonio Villanacci, 1998.
"Constrained suboptimality in incomplete markets: a general approach and two applications,"
- Atsushi Kajii & Antonio Villanacci & Alessandro Citanna, 1998. "Constrained suboptimality in incomplete markets: a general approach and two applications," Economic Theory, Springer, vol. 11(3), pages 495-521.
- Shiller, Robert J, 1981.
"Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?,"
American Economic Review,
American Economic Association, vol. 71(3), pages 421-36, June.
- Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
- Pietra, Tito, 1992.
"The Structure of the Set of Sunspot Equilibria in Economies with Incomplete Financial Markets,"
Springer, vol. 2(3), pages 321-40, July.
- PIETRA,Â Tito, . "The structure of the set of sunspot equilibria in economies with incomplete financial markets," CORE Discussion Papers RP 997, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Pietra, T., 1991. "The structure of the set of sunspot equilibria in economies with incomplete financial markets," CORE Discussion Papers 1991032, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Duffie, Darrell & Shafer, Wayne, 1986. "Equilibrium in incomplete markets: II : Generic existence in stochastic economies," Journal of Mathematical Economics, Elsevier, vol. 15(3), pages 199-216, June.
- Smale, S., 1974. "Global analysis and economics III : Pareto Optima and price equilibria," Journal of Mathematical Economics, Elsevier, vol. 1(2), pages 107-117, August.
- Thorsten Hens, 2000. "Do Sunspots Matter when Spot Market Equilibria Are Unique?," Econometrica, Econometric Society, vol. 68(2), pages 435-441, March.
- Elul, Ronel, 1997. "Financial innovation, precautionary saving and the risk-free rate," Journal of Mathematical Economics, Elsevier, vol. 27(1), pages 113-131, February.
- Piero Gottardi & Atsushi Kajii, 1999. "The Structure of Sunspot Equilibria: The Role of Multiplicity," Review of Economic Studies, Oxford University Press, vol. 66(3), pages 713-732.
When requesting a correction, please mention this item's handle: RePEc:nwu:cmsems:1338. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Fran Walker)
If references are entirely missing, you can add them using this form.