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- W3122880295 abstract "In a three-period finite exchange economy with incomplete financial markets and retrading, we study the effects of the degree of incompleteness and of changes in the financial structure on asset price volatility. In what are essentially no aggregate risk economies, asset price volatility is a sunspot-like phenomenon. If markets are completed by financial innovation, asset price volatility reduction is generic. With aggregate risk, changes in the financial structure affect asset price volatility through a pecuniary externality. Financial innovation which decreases equilibrium price volatility can be crafted under conditions of sufficient market incompleteness. Numerical examples illustrate the role of risk aversion for volatility changes and show that, with or without aggregate risk, reducing the degree of incompleteness per se is not necessarily associated with a volatility reduction." @default.
- W3122880295 created "2021-02-01" @default.
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- W3122880295 date "2005-10-01" @default.
- W3122880295 modified "2023-09-27" @default.
- W3122880295 title "Excess price volatility and financial innovation" @default.
- W3122880295 hasPublicationYear "2005" @default.
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