Equilibrium asset prices and exchange rates

DOI10.1016/0165-1889(94)00804-QzbMath0875.90067OpenAlexW1987283162MaRDI QIDQ1349762

Fernando Zapatero

Publication date: 27 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(94)00804-q

zbMATH Keywords

Incomplete marketsExchange ratesInternational equilibrium

Mathematics Subject Classification ID

Trade models (91B60) General equilibrium theory (91B50)

Related Items (12)

On trees and logs ⋮ Classical and restricted impulse control for the exchange rate under a stochastic trend model ⋮ Complete and incomplete financial markets in multi-good economies ⋮ Schumpeterian competition in a Lucas economy ⋮ Equilibrium pricing of currency options under a discontinuous model in a two-country economy ⋮ Equilibrium valuation of currency options under a jump-diffusion model with stochastic volatility ⋮ On the theory of sterilized foreign exchange intervention ⋮ Government Debt Control: Optimal Currency Portfolio and Payments ⋮ International capital markets and redundant securities ⋮ Equilibrium valuation of currency options with stochastic volatility and systemic co-jumps ⋮ Optimal Central Bank intervention in the foreign exchange market ⋮ An automated financial indices-processing scheme for classifying market liquidity regimes

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Effects of financial innovations on market volatility when beliefs are heterogeneous
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• An Intertemporal General Equilibrium Model of Asset Prices
• An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Asset Prices in an Exchange Economy
• The Consumption-Based Capital Asset Pricing Model

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