| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23723 |
| 来源ID | Working Paper 23723 |
| Price Uncertainty and Price-Contingent Securities | |
| Geoffrey Heal | |
| 发表日期 | 2017-08-21 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | I extend the classical general equilibrium treatment of uncertainty about exogenous states of nature to uncertainty about prices. Traders do not know the prices at which markets will clear but have expectations over possible prices. They trade price-contingent securities (derivatives) to insure against the risks arising from this uncertainty. I establish four results. One is set of conditions that are necessary and sufficient for the existence of equilibrium (called an equilibrium with price insurance) in this framework. A second is that equilibria with price insurance are Pareto efficient. I give conditions under which agents are fully insured at an equilibrium. Finally I show that agents' price expectations matter in the sense that they affect the equilibrium allocation of resources, and that the existence of price-contingent securities alters the equilibrium of the underlying real economy. |
| 主题 | Microeconomics ; General Equilibrium ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w23723 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581394 |
| 推荐引用方式 GB/T 7714 | Geoffrey Heal. Price Uncertainty and Price-Contingent Securities. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23723.pdf（447KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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