G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w23723
来源IDWorking 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
URLhttps://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
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Geoffrey Heal]的文章
百度学术
百度学术中相似的文章
[Geoffrey Heal]的文章
必应学术
必应学术中相似的文章
[Geoffrey Heal]的文章
相关权益政策
暂无数据
收藏/分享
文件名: w23723.pdf
格式: Adobe PDF
此文件暂不支持浏览

除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。