Structure of financial markets and real indeterminacy of equilibria

Jan Werner

doi:10.1016/0304-4068(90)90043-9

Structure of financial markets and real indeterminacy of equilibria

Jan Werner

Economics (Twin Cities)

Research output: Contribution to journal › Article › peer-review

16 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 language	English (US)
Pages (from-to)	217-232
Number of pages	16
Journal	Journal of Mathematical Economics
Volume	19
Issue number	1-2
DOIs	https://doi.org/10.1016/0304-4068(90)90043-9
State	Published - 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.

Publisher link

10.1016/0304-4068(90)90043-9

Find It

Find It at U of M Libraries

Cite this

@article{d91014fece9e4d238e5615ef44676202,

title = "Structure of financial markets and real indeterminacy of equilibria",

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.",

author = "Jan Werner",

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.",

year = "1990",

doi = "10.1016/0304-4068(90)90043-9",

language = "English (US)",

volume = "19",

pages = "217--232",

journal = "Journal of Mathematical Economics",

issn = "0304-4068",

publisher = "Elsevier B.V.",

number = "1-2",

}

TY - JOUR

T1 - Structure of financial markets and real indeterminacy of equilibria

AU - Werner, Jan

N1 - 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.

PY - 1990

Y1 - 1990

N2 - 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.

AB - 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.

UR - https://www.scopus.com/pages/publications/0000012799

UR - https://www.scopus.com/pages/publications/0000012799#tab=citedBy

U2 - 10.1016/0304-4068(90)90043-9

DO - 10.1016/0304-4068(90)90043-9

M3 - Article

AN - SCOPUS:0000012799

SN - 0304-4068

VL - 19

SP - 217

EP - 232

JO - Journal of Mathematical Economics

JF - Journal of Mathematical Economics

IS - 1-2

ER -

Structure of financial markets and real indeterminacy of equilibria

Abstract

Bibliographical note

Publisher link

Find It

Other files and links

Fingerprint

Cite this