Applied Computational Economics and Finance
In: The economic journal: the journal of the Royal Economic Society, Band 113, Heft 491, S. F661-F663
ISSN: 1468-0297
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In: The economic journal: the journal of the Royal Economic Society, Band 113, Heft 491, S. F661-F663
ISSN: 1468-0297
In: Journal of economic dynamics & control, Band 22, Heft 8-9, S. 1375-1401
ISSN: 0165-1889
In: American economic review, Band 102, Heft 3, S. 147-151
ISSN: 1944-7981
We compare asset prices in an overlapping generations model for incomplete and complete markets. Individuals within a generational cohort have heterogeneous beliefs about future states of the economy and thus would like to make bets against each other. In the incomplete-markets economy, agents cannot make such bets. Asset price volatility is very small. The situation changes dramatically when markets are completed through financial innovations as the set of available securities now allows agents with different beliefs to place bets against each other. Wealth shifts across agents and generations. Such changes in the wealth distribution lead to substantial asset price volatility.
In: Journal of economic dynamics & control, Band 23, Heft 9-10, S. 1249-1279
ISSN: 0165-1889
In: Handbooks in economics [13]
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In: Journal of Financial Transformation, # 57, 2023
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In: Journal of Finance, Band 73(3), Heft 1061-1111
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In: Journal of Financial Economics (JFE), Forthcoming
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In: Journal of economic dynamics & control, Band 69, S. 152-178
ISSN: 0165-1889
In: Journal of Economic Dynamics and Control, Band 69
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In: Swiss Finance Institute Research Paper No. 12-36
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