English, Article, Journal or magazine article edition: Financial Innovation and Price Volatility Alessandro Citanna

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Bookmark: http://trove.nla.gov.au/version/22830
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Financial innovation and price volatility
Author
  • Alessandro Citanna
Physical Description
  • preprint
Notes
  • In a three-period finite competitive exchange economy with incomplete financial markets and retrading, we show the generic existence of financial innovation which decreases equilibrium price volatility (as well as innovation which increases it). The existence is obtained under conditions of sufficient market incompleteness. The financial innnovation may consist of an asset which is only traded at time zero, or retraded, and with payoffs only at the terminal date. The existence is shown to be robust in the asset payoff space.
  • Incomplete markets; financial innovation; volatility
  • RePEc:ebg:heccah:0685
  • In a two-period finite competitive exchange economy with incomplete financial markets and retrading, we show the generic existence of financial innovation which decreases equilibrium price volatility (as well as innovation which increases it). The existence
  • RePEc:cmu:gsiawp:9
Language
  • English
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