Theory of incomplete markets
著者
書誌事項
Theory of incomplete markets
MIT Press, 2002, c1996
- v. 1 : pbk
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注記
"First MIT Press paperback edition, 2002."--T.p. verso
Bibliography: p. 491-516
Includes index
内容説明・目次
内容説明
Authoritative and comprehensive, yet comprehensible. A remarkable blend of rigorous elegance and economic wisdom.
The Theory of Incomplete Markets provides a unified framework for analyzing the real, financial, and monetary sectors of an economy. It describes an innovative theory that takes into account the fact that in order to coordinate their activities and share their risks, agents are forced by the imperfections in their knowledge and their propensity for opportunistic behavior to trade sequentially and to make only limited contractual commitments into the future. This book studies the consequences of trading with such a sequential and incomplete market structure for the equilibria of an economy: competitive markets no longer provide the ideal way of allocating resources and even with rational expectations monetary policy is nonneutral.The theory presented in this book retains the simplicity, coherence, and generality that are the hallmarks of traditional general equilibrium theory, while moving the nature of the markets, contracts, and constraints on agent participation into closer conformity with the actual structure of markets observed in the real world.Students and researchers will appreciate how the book incorporates results from the latest research while remaining accessible to a wide audience. The theory is built from the bottom up, with ample nontechnical motivation and a user-friendly presentation that constantly draws on the reader's economic and geometric intuition. Historical discussions in each chapter help clarify the origins and current limitations of the theory.This is the first of two volumes. Volume 1 focuses on the role and functioning of financial markets in a competitive setting. Volume 2 will study more general models that combine the real and financial sectors of the economy and depart from a purely competitive analysis. In addition to providing basic insights needed to understand the theory of incomplete markets, this volume provides the essential tools needed to understand the more general analysis of Volume 2.
目次
- Part 1 Introduction: main themes
- bounded rationality, opportunism and structure of markets
- rational expectations
- the equilibrium model
- real and financial sectors of the economy. Part 2 Two-period finance economy - motivation and summary: characteristics of the finance economy
- contingent market equilibrium
- financial market equilibrium
- absence of arbitrage
- no-arbitrage equilibrium
- a basic property of incomplete markets
- constrained pareto optimality
- abstract approach - adjoint equations. Part 3 Two-period security pricing - motivation and summary: inner product, differential and gradient
- valuation of income streams
- representative agent analysis
- capital asset pricing model (CAPM). Part 4 Stochastic financial economy - motivation and summary: event-tree commodity space
- stochastic exchange economy
- stochastic financial markets
- absence of arbitrage
- complete and incomplete markets
- no-arbitrage equilibrium
- example of non-existence
- existence and optimality. Part 5 Information efficiency of security prices - motivation and summary: conditional expectation and martingale
- efficient markets under risk neutrality
- efficient markets with risk aversion. Part 6 Production in a finance economy - motivation and summary: characteristics of production economy
- sole proprietorships
- partnerships
- corporations. Part 7 Monetary economy - motivation and summary: real and nominal contracts
- monetary equilibrium
- non-neutrality of monetary policy
- optimal monetary policy
- indexing contracts.
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