Incomplete markets, allocative efficiency, and the information revealed by prices
type: Item
instance of: scholarly article
title: Incomplete markets, allocative efficiency, and the information revealed by prices
zbMATH Open document ID: 0997.91042
author: Alessandro Citanna
author: Antonio Villanacci
published in: Journal of Economic Theory
publication date: 2002-11-14T00:00:00Z
review text: The paper deals with a two-period exchange economy with finitely many states and signals, multiple commodities and incomplete financial markets for nominal assets. In such economy the rational expectations equilibria are compared with different degrees of information revelation through prices. The main results show that there always exist equilibria where information is redundant in certain sense. Also the conditions are given under which for a generic set of economies parametrized by endowments and utilities, there exist open sets of equilibria for which allocative and informational efficiency are independent. Some implications of these results for monetary policy are formulated.
reviewed by: Milan Mareš
Mathematics Subject Classification ID: 91B52
Mathematics Subject Classification ID: 91B54
Mathematics Subject Classification ID: 91B44
zbMATH DE Number: 1446368
zbMATH Keywords: market
zbMATH Keywords: incomplete market
zbMATH Keywords: allocative efficiency
zbMATH Keywords: price
zbMATH Keywords: information in market
MaRDI profile type: Publication
full work available at URL: jeth.1999.2609
OpenAlex ID: W2472728487
cites work: The structure of financial equilibrium with exogenous yields. The case of restricted participation
cites work: Q5807222
cites work: Pareto improving financial innovation in incomplete markets
cites work: Constrained suboptimality in incomplete markets: A general approach and two applications
cites work: The revelation of information in strategic market games. A critique of rational expectations equilibrium
cites work: Q3818769
cites work: On the optimality of equilibrium when the market structure is incomplete
cites work: The generic existence of rational expectations equilibrium in the higher dimensional case
cites work: Real effects of money in general equilibrium
cites work: A role for monetary policy when prices reveal information: An example
cites work: Asset markets and the information revealed by prices
cites work: Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices
cites work: Q4280476
DOI: 10.1006/JETH.1999.2609
description: scientific article; zbMATH DE number 1446368