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Asset markets and equilibrium processes

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  • DUTTA, Jayasri
  • POLEMARCHAKIS, Heraklis
Abstract
The failure of the asset market to be complete causes serial dependence in output and prices, which is suboptimal. We consider an economy with white noise shocks. When the asset market is complete, an optimal, competitive allocation inherits this strong stationarity. When the asset market is only sequentially complete, prices and output necessarily display serial dependence at equilibrium. The further incompleteness of a monetary economy explains co-movements in real and nominal variables.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • DUTTA, Jayasri & POLEMARCHAKIS, Heraklis, 1990. "Asset markets and equilibrium processes," LIDAM Reprints CORE 881, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:881
    DOI: 10.2307/2297380
    Note: In : Review of Economic Studies, 57, 229-254, 1990
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    Cited by:

    1. Barbie, Martin & Hagedorn, Marcus & Kaul, Ashok, 2000. "Dynamic Efficiency and Pareto Optimality in a Stochastic OLG Model with Production and Social Security," IZA Discussion Papers 209, Institute of Labor Economics (IZA).
    2. Sujoy Mukerji & Jean-Marc Tallon, 2001. "Ambiguity Aversion and Incompleteness of Financial Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 68(4), pages 883-904.
    3. Barbie, Martin & Hagedorn, Marcus & Kaul, Ashok, 2001. "Government Debt as Insurance against Macroeconomic Risk," IZA Discussion Papers 412, Institute of Labor Economics (IZA).
    4. Chattopadhyay, Subir & Gottardi, Piero, 1999. "Stochastic OLG Models, Market Structure, and Optimality," Journal of Economic Theory, Elsevier, vol. 89(1), pages 21-67, November.

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