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Prechac, Christophe; Goenka, Aditya - Econometric Society - 2004

This paper examines the welfare of consumers in an incomplete markets economy with extrinsic uncertainty. It is shown that the utility of one consumer may be minimized at the Walrasian allocation relative to all other equilibrium allocations for a given security structure. Thus, this consumer...

Persistent link: https://www.econbiz.de/10005702723

Prognoses for a Non-Predictable Discounted Commodity Price Process

Wright, Brian D.; Bobenrieth; Eugenio S. A. - Econometric Society - 2004

We consider the behavior of the price of a continuously stored commodity, for which discounted price is a non-constant martingale, and thus not-predictable. We prove that the discounted price realization is within any given neighborhood of zero, with any given probability less than 1, beyond a...

Persistent link: https://www.econbiz.de/10005699619

Liquidity Discovery and Asset Pricing

Seppi, Duane; Gallmeyer, Michael; Hollifield, Burton - Econometric Society - 2004

preferences of future trading counter-parties causes randomness in future resale prices that we call liquidity risk. It is natural … to suppose that investors are asymmetrically informed about liquidity risk. Through a process of liquidity discovery … liquidity is a forward-looking predictor of future liquidity risk and, as such, is priced. Liquidity discovery provides an …

Persistent link: https://www.econbiz.de/10005130211

Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market

Vigneron, Olivier; Gabaix, Xavier; Krishnamurthy, Arvind - Econometric Society - 2004

market. A simple pricing kernel based on the aggregate value of MBS securities prices risk in the MBS market. The evidence …

Persistent link: https://www.econbiz.de/10005130216

Advances in economics and econometrics ; Vol. 3

Dewatripont, Mathias (contributor); … - 2003

Persistent link: https://www.econbiz.de/10001742594

Internalisation of Transport Noise Externalities: Activity Disturbance Pricing and Implementation

Gross, Ernestine M. A. - Econometric Society - 2004

A transport noise-pricing model is developed, which distinguishes between transport sound externalities, real resource costs of transport noise externalities and monetary valuations of such costs. It differs from existing approaches (hedonic pricing and contingent valuation), which aim at...

Persistent link: https://www.econbiz.de/10005342141

Global Identification from the equilibrium Manifold under Incomplete markets

Carvajal, Andres; Riascos, Alvaro - Econometric Society - 2004

requirements. It is crucial that there be date-zero consumption. As a by-product, we develop some duality theory under incomplete …

Persistent link: https://www.econbiz.de/10005129781

Investment in Human Capital in a Macrodynamic Framework: Redistributive Taxation, Public Debt and Welfare

Nascimento, Leandro Gonçalves do - Econometric Society - 2004

Efficient investment in human capital is a subject of great concern among economists. By means of an overlapping-generations macrodynamic model with credit constraints, imperfect insurance and exogenous labor supply, we appraise inefficiencies related to misinvestment in human capital and...

Persistent link: https://www.econbiz.de/10005130204

Pareto Improving Taxation in Incomplete Markets

Turner, Sergio - Econometric Society - 2004

. Conversely, if the price adjustment is sufficiently sensitive to risk aversions, then for almost all risk aversions and … endowments, Pareto improving taxes exist. I show how to verify this sensitivity test with standard demand theory, which Turner …

Persistent link: https://www.econbiz.de/10005063553

Investment in Human Capital in a Macrodynamic Framework: Redistributive Taxation, Public Debt and Welfare

Nascimento, Leandro - Econometric Society - 2004

Persistent link: https://www.econbiz.de/10005699613

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