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Controlling price volatility through financial innovation

Citanna, Alessandro; Schmedders, Karl - 2002

possibility of controlling asset price volatility through financial innovation. We first give sufficient conditions on preferences … and endowments implying that whatever is the innovation which completes markets, it also reduces volatility, typically in … outside this class, of financial innovation which decreases equilibrium price volatility. The existence is obtained under …

Persistent link: https://www.econbiz.de/10010282792

Financial Innovation and Price Volatility

Alessandro, CITANNA - HEC Paris (École des Hautes Études Commerciales) - 1999

generic existence of financial innovation which decreases equilibrium price volatility (as well as innovation which increases …

Persistent link: https://www.econbiz.de/10005011667

Controlling price volatility through financial innovation

Alessandro, CITANNA; SCHMEDDERS, Karl - HEC Paris (École des Hautes Études Commerciales) - 2002

In this paper, the authors study the possibility of controlling asset price volatility through financial innovation in …

Persistent link: https://www.econbiz.de/10005041795

Dissaving of the past via reverse mortgages

Champloni, Ana Luiza; Orrillo, Jaime - In: Revista brasileira de economia : RBE ; publicação de … 71 (2017) 1, pp. 29-41

Persistent link: https://www.econbiz.de/10011898771

Financial Innovation and Endogenous Uncertainty in Incomplete Asset Markets

Chichilnisky, Graciela; Wu, Ho-Mou - 1992

We study endogenous uncertainty stemming from the introduction of new financial assets, so as to evaluate the risks as well as the welfare gains of financial innovation. The introduction of financial assets to hedge individual risk can lead to the risk of default, which is a collective risk. The...

Persistent link: https://www.econbiz.de/10009472281

Financial innovation, market participation and asset prices

Calvet, Laurent; Gonzalez-Eiras, Martín; Sodini, Paolo - 2001

This paper proposes that the introduction of non-redundant assets can endogenously modify trader participation in financial markets, which can lead to a lower market premium and a higher interest rate. We demonstrate this mechanism in a tractable exchange economy with endogenous participation....

Persistent link: https://www.econbiz.de/10010281433

Investment and financing in incomplete markets

Bejan, Camelia - In: Economic theory : official journal of the Society for … 69 (2020) 1, pp. 149-182

Persistent link: https://www.econbiz.de/10012238222

Securitization and Real Investment in Incomplete Markets

Gaur, Vishal; Seshadri, Sridhar; Subrahmanyam, Marti G. - In: Management Science 57 (2011) 12, pp. 2180-2196

We study the impact of financial innovations on real investment decisions within the framework of an incomplete market economy comprised of firms, investors, and an intermediary. The firms face unique investment opportunities that arise in their business operations and can be undertaken at given...

Persistent link: https://www.econbiz.de/10010990477

New financial markets: who gains and who loses

Willen, Paul - In: Economic Theory 26 (2005) 1, pp. 141-166

We evaluate the effects of new financial markets in a two-period incomplete markets model with heterogenous agents. For analytical tractability, we focus on the special case where utility is exponential and risks are normally distributed. We provide a complete characterization of life-cycle...

Persistent link: https://www.econbiz.de/10005370757

Investor´s Distrust and the Marketing of New Financial Assets

Kawamura, Enrique L. - Departamento de Economía, Universidad de San Andrés - 2000

In this paper I present a model where a financial intermediary decides to open new security markets and offer them to boundedly rational investors. I show first that, if consumers have downward biased priors about payoffs, then no trade in the new securities may be verified. It is shown that no...

Persistent link: https://www.econbiz.de/10005034883

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