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Incomplete Markets
This two-volume set offers an extraordinary précis of classic articles on the general equilibrium theory of incomplete markets.
The first volume presents the contributions to the theory of incomplete markets over a finite horizon. Many of the papers focus on two-period economies. This setting provides the simplest version of the incomplete-market model. However, the study of incomplete markets has evolved from finite to infinite horizon economies. The second volume examines the interesting new technical and conceptual issues that arise from the exploration of incomplete market economies over an open-ended future.
The first volume presents the contributions to the theory of incomplete markets over a finite horizon. Many of the papers focus on two-period economies. This setting provides the simplest version of the incomplete-market model. However, the study of incomplete markets has evolved from finite to infinite horizon economies. The second volume examines the interesting new technical and conceptual issues that arise from the exploration of incomplete market economies over an open-ended future.
More Information
Contributors
Contents
More Information
This two-volume set offers an extraordinary précis of classic articles on the general equilibrium theory of incomplete markets.
The first volume presents the contributions to the theory of incomplete markets over a finite horizon. Many of the papers focus on two-period economies. This setting provides the simplest version of the incomplete-market model. However, the study of incomplete markets has evolved from finite to infinite horizon economies. The second volume examines the interesting new technical and conceptual issues that arise from the exploration of incomplete market economies over an open-ended future.
The editors have written new, authoritative introductions to each volume, which provide a comprehensive overview and informative discussion of the issues.
The first volume presents the contributions to the theory of incomplete markets over a finite horizon. Many of the papers focus on two-period economies. This setting provides the simplest version of the incomplete-market model. However, the study of incomplete markets has evolved from finite to infinite horizon economies. The second volume examines the interesting new technical and conceptual issues that arise from the exploration of incomplete market economies over an open-ended future.
The editors have written new, authoritative introductions to each volume, which provide a comprehensive overview and informative discussion of the issues.
Contributors
40 articles, dating from 1964 to 2006
Contributors include: K.J. Arrow, J.H. Drèze, P. Dubey, D. Duffie, J. Geanakoplos, S.J. Grossman, A. Mas-Colell, O.D. Hart, R. Radner, M.S. Santos
Contributors include: K.J. Arrow, J.H. Drèze, P. Dubey, D. Duffie, J. Geanakoplos, S.J. Grossman, A. Mas-Colell, O.D. Hart, R. Radner, M.S. Santos
Contents
Contents:
Volume I: Finite Horizon Economies
Acknowledgements
Introduction to Volume I Michael J.P. Magill and Martine Quinzii
PART I THE CLASSICS
1. K.J. Arrow (1964), ‘The Role of Securities in the Optimal Allocation of Risk-bearing’
2. Peter A. Diamond (1967), ‘The Role of a Stock Market in a General Equilibrium Model with Technological Uncertainty’
3. Roy Radner (1972), ‘Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets’
4. Jacques H. Drèze (1974), ‘Investment Under Private Ownership: Optimality, Equilibrium and Stability’
5. Oliver D. Hart (1975), ‘On the Optimality of Equilibrium when the Market Structure is Incomplete’
PART II EXISTENCE OF EQUILIBRIUM IN EXCHANGE ECONOMIES
6. David Cass (2006), ‘Competitive Equilibrium with Incomplete Financial Markets’
7. Michael J.P. Magill and Wayne J. Shafer (1990), ‘Characterisation of Generically Complete Real Asset Structures’
8. Darrell Duffie and Wayne Shafer (1985), ‘Equilibrium in Incomplete Markets: I. A Basic Model of Generic Existence’
9. M.D. Hirsch, M. Magill and A. Mas-Colell (1990), ‘A Geometric Approach to a Class of Equilibrium Existence Theorems’
PART III PRODUCTION AND THE STOCK MARKET
10. Steinar Ekern and Robert Wilson (1974), ‘On the Theory of the Firm in an Economy with Incomplete Markets’
11. Roy Radner (1974), ‘A Note on Unanimity of Stockholders’ Preferences among Alternative Production Plans: A Reformulation of the Ekern-Wilson Model’
12. Sanford J. Grossman and Oliver D. Hart (1979), ‘A Theory of Competitive Equilibrium in Stock Market Economies’
PART IV SUB-OPTIMALITY OF COMPETITIVE EQUILIBRIA
13. Joseph E. Stiglitz (1982), ‘The Inefficiency of the Stock Market Equilibrium’
14. John D. Geanakoplos and Heraklis M. Polemarchakis (1986), ‘Existence, Regularity, and Constrained Suboptimality of Competitive Allocations when the Asset Market is Incomplete’
15. J. Geanakoplos, M. Magill, M. Quinzii and J. Drèze (1990), ‘Generic Inefficiency of Stock Market Equilibrium when Markets are Incomplete’
16. Alessandro Citanna, Atsushi Kajii and Antonio Villanacci (1998), ‘Constrained Suboptimality in Incomplete Markets: A General Approach and Two Applications’
PART V NOMINAL SECURITIES, INDETERMINACY AND REAL EFFECTS OF MONEY
17. John Geanakoplos and Andreu Mas-Colell (1989), ‘Real Indeterminacy with Financial Assets’
18. David Cass (1992), ‘Sunspots and Incomplete Financial Markets: The General Case’
19. Piero Gottardi and Atsushi Kajii (1999), ‘The Structure of Sunspot Equilibria: The Role of Multiplicity’
20. M. Magill and M. Quinzii (1992), ‘Real Effects of Money in General Equilibrium’
21. Pradeep Dubey and John Geanakoplos (2003), ‘Monetary Equilibrium with Missing Markets’
PART VI SECURITY STRUCTURE
22. David Cass and Alessandro Citanna (1998), ‘Pareto Improving Financial Innovation in Incomplete Markets’
23. Ronel Elul (1999), ‘Welfare-improving Financial Innovation with a Single Good’
24. Gabrielle Demange and Guy Laroque (1995), ‘Optimality of Incomplete Markets’
25. Michael Magill and Martine Quinzii (1997), ‘Which Improves Welfare More: A Nominal or an Indexed Bond?’
26. Pradeep Dubey, John Geanakoplos and Martin Shubik (2005), ‘Default and Punishment in General Equilibrium’
Name Index
Volume II: Infinite Horizon Economies
Acknowledgements
Introduction to Volume II Michael J.P. Magill and Martine Quinzii
PART I EXISTENCE OF EQUILIBRIUM, PONZI SCHEMES AND ASSET PRICE BUBBLES
1. Michael Magill and Martine Quinzii (1994), ‘Infinite Horizon Incomplete Markets’
2. Alejandro Hernández D. and Manuel S. Santos (1996), ‘Competitive Equilibria for Infinite-Horizon Economies with Incomplete Markets’
3. Michael Magill and Martine Quinzii (1996), ‘Incomplete Markets over an Infinite Horizon: Long-lived Securities and Speculative Bubbles’
4. Manuel S. Santos and Michael Woodford (1997), ‘Rational Asset Pricing Bubbles’
5. Aloisio Araujo, Mário Rui Páscoa and Juan Pablo Torres-Martínez (2002), ‘Collateral Avoids Ponzi Schemes in Incomplete Markets’
6. Fernando Alvarez and Urban J. Jermann (2000), ‘Efficiency, Equilibrium, and Asset Pricing with Risk of Default’
PART II STATIONARY EQUILIBRIA
7. D. Duffie, J. Geanakoplos, A. Mas-Colell and A. McLennan (1994), ‘Stationary Markov Equilibria’
8. Felix Kubler and Karl Schmedders (2003), ‘Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral’
PART III EFFECT OF INCOMPLETE MARKETS ON ALLOCATIONS, WELFARE AND PRICES
9. Mark Huggett (1993), ‘The Risk-Free Rate in Heterogeneous-Agent, Incomplete-Insurance Economies’
10. S. Rao Aiyagari (1994), ‘Uninsured Idiosyncratic Risk and Aggregate Saving’
11. Per Krusell and Anthony A. Smith, Jr. (1998), ‘Income and Wealth Heterogeneity in the Macroeconomy’
12. David K. Levine and William R. Zame (2002), ‘Does Market Incompleteness Matter?’
13. John Heaton and Deborah J. Lucas (1996), ‘Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing’
14. George M. Constantinides and Darrell Duffie (1996), ‘Asset Pricing with Heterogeneous Consumers’
Name Index
Volume I: Finite Horizon Economies
Acknowledgements
Introduction to Volume I Michael J.P. Magill and Martine Quinzii
PART I THE CLASSICS
1. K.J. Arrow (1964), ‘The Role of Securities in the Optimal Allocation of Risk-bearing’
2. Peter A. Diamond (1967), ‘The Role of a Stock Market in a General Equilibrium Model with Technological Uncertainty’
3. Roy Radner (1972), ‘Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets’
4. Jacques H. Drèze (1974), ‘Investment Under Private Ownership: Optimality, Equilibrium and Stability’
5. Oliver D. Hart (1975), ‘On the Optimality of Equilibrium when the Market Structure is Incomplete’
PART II EXISTENCE OF EQUILIBRIUM IN EXCHANGE ECONOMIES
6. David Cass (2006), ‘Competitive Equilibrium with Incomplete Financial Markets’
7. Michael J.P. Magill and Wayne J. Shafer (1990), ‘Characterisation of Generically Complete Real Asset Structures’
8. Darrell Duffie and Wayne Shafer (1985), ‘Equilibrium in Incomplete Markets: I. A Basic Model of Generic Existence’
9. M.D. Hirsch, M. Magill and A. Mas-Colell (1990), ‘A Geometric Approach to a Class of Equilibrium Existence Theorems’
PART III PRODUCTION AND THE STOCK MARKET
10. Steinar Ekern and Robert Wilson (1974), ‘On the Theory of the Firm in an Economy with Incomplete Markets’
11. Roy Radner (1974), ‘A Note on Unanimity of Stockholders’ Preferences among Alternative Production Plans: A Reformulation of the Ekern-Wilson Model’
12. Sanford J. Grossman and Oliver D. Hart (1979), ‘A Theory of Competitive Equilibrium in Stock Market Economies’
PART IV SUB-OPTIMALITY OF COMPETITIVE EQUILIBRIA
13. Joseph E. Stiglitz (1982), ‘The Inefficiency of the Stock Market Equilibrium’
14. John D. Geanakoplos and Heraklis M. Polemarchakis (1986), ‘Existence, Regularity, and Constrained Suboptimality of Competitive Allocations when the Asset Market is Incomplete’
15. J. Geanakoplos, M. Magill, M. Quinzii and J. Drèze (1990), ‘Generic Inefficiency of Stock Market Equilibrium when Markets are Incomplete’
16. Alessandro Citanna, Atsushi Kajii and Antonio Villanacci (1998), ‘Constrained Suboptimality in Incomplete Markets: A General Approach and Two Applications’
PART V NOMINAL SECURITIES, INDETERMINACY AND REAL EFFECTS OF MONEY
17. John Geanakoplos and Andreu Mas-Colell (1989), ‘Real Indeterminacy with Financial Assets’
18. David Cass (1992), ‘Sunspots and Incomplete Financial Markets: The General Case’
19. Piero Gottardi and Atsushi Kajii (1999), ‘The Structure of Sunspot Equilibria: The Role of Multiplicity’
20. M. Magill and M. Quinzii (1992), ‘Real Effects of Money in General Equilibrium’
21. Pradeep Dubey and John Geanakoplos (2003), ‘Monetary Equilibrium with Missing Markets’
PART VI SECURITY STRUCTURE
22. David Cass and Alessandro Citanna (1998), ‘Pareto Improving Financial Innovation in Incomplete Markets’
23. Ronel Elul (1999), ‘Welfare-improving Financial Innovation with a Single Good’
24. Gabrielle Demange and Guy Laroque (1995), ‘Optimality of Incomplete Markets’
25. Michael Magill and Martine Quinzii (1997), ‘Which Improves Welfare More: A Nominal or an Indexed Bond?’
26. Pradeep Dubey, John Geanakoplos and Martin Shubik (2005), ‘Default and Punishment in General Equilibrium’
Name Index
Volume II: Infinite Horizon Economies
Acknowledgements
Introduction to Volume II Michael J.P. Magill and Martine Quinzii
PART I EXISTENCE OF EQUILIBRIUM, PONZI SCHEMES AND ASSET PRICE BUBBLES
1. Michael Magill and Martine Quinzii (1994), ‘Infinite Horizon Incomplete Markets’
2. Alejandro Hernández D. and Manuel S. Santos (1996), ‘Competitive Equilibria for Infinite-Horizon Economies with Incomplete Markets’
3. Michael Magill and Martine Quinzii (1996), ‘Incomplete Markets over an Infinite Horizon: Long-lived Securities and Speculative Bubbles’
4. Manuel S. Santos and Michael Woodford (1997), ‘Rational Asset Pricing Bubbles’
5. Aloisio Araujo, Mário Rui Páscoa and Juan Pablo Torres-Martínez (2002), ‘Collateral Avoids Ponzi Schemes in Incomplete Markets’
6. Fernando Alvarez and Urban J. Jermann (2000), ‘Efficiency, Equilibrium, and Asset Pricing with Risk of Default’
PART II STATIONARY EQUILIBRIA
7. D. Duffie, J. Geanakoplos, A. Mas-Colell and A. McLennan (1994), ‘Stationary Markov Equilibria’
8. Felix Kubler and Karl Schmedders (2003), ‘Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral’
PART III EFFECT OF INCOMPLETE MARKETS ON ALLOCATIONS, WELFARE AND PRICES
9. Mark Huggett (1993), ‘The Risk-Free Rate in Heterogeneous-Agent, Incomplete-Insurance Economies’
10. S. Rao Aiyagari (1994), ‘Uninsured Idiosyncratic Risk and Aggregate Saving’
11. Per Krusell and Anthony A. Smith, Jr. (1998), ‘Income and Wealth Heterogeneity in the Macroeconomy’
12. David K. Levine and William R. Zame (2002), ‘Does Market Incompleteness Matter?’
13. John Heaton and Deborah J. Lucas (1996), ‘Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing’
14. George M. Constantinides and Darrell Duffie (1996), ‘Asset Pricing with Heterogeneous Consumers’
Name Index
