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Observable Restrictions of General Equilibrium Models with Financial Markets

  • Felix Kubler
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 604)

Abstract

This paper examines whether general equilibrium models of exchange economies with incomplete financial markets impose restrictions on prices of commodities and assets given the stochastic processes of dividends and aggregate endowments. We show that the assumption of time-separable expected utility implies restriction on the cross-section of asset prices as well as on spot commodity prices. However, a relaxation of the assumption of time separability will generally destroy these restriction.

Key words

General equilibrium Incomplete financial markets Non-parametric restrictions 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2008

Authors and Affiliations

  • Felix Kubler
    • 1
  1. 1.University of PennsylvaniaPhiladelphia

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