Structure of financial markets and real indeterminacy of equilibria

Research output: Contribution to journalArticlepeer-review

15 Scopus citations

Abstract

This paper studies the indeterminacy of equilibrium allocations in an economy with spot commodity markets and incomplete futures markets for financial assets. We provide a description of the degree of indeterminacy in the case of two-period economy with an arbitrary market structure, and in the case of multiperiod economy. By the degree of indeterminacy we mean the highest dimension a of manifold contained in the set of equilibrium allocations of commodities.

Original languageEnglish (US)
Pages (from-to)217-232
Number of pages16
JournalJournal of Mathematical Economics
Volume19
Issue number1-2
DOIs
StatePublished - 1990

Bibliographical note

Funding Information:
*The research was supported by the Deutsche Forschungsgemeinschaft, SFB303. The paper was written when the author was visiting the Institute for Mathematical Studies in the Social Sciences, Stanford University. I am pleased to thank David Cass for helpful remarks.

Fingerprint Dive into the research topics of 'Structure of financial markets and real indeterminacy of equilibria'. Together they form a unique fingerprint.

Cite this