Sequentially complete markets remain incomplete

Jacques H. Dreze; P.J.J. Herings

doi:10.1016/j.econlet.2008.03.017

Sequentially complete markets remain incomplete

Jacques H. Dreze
, P.J.J. Herings^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › Scientific › peer-review

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Abstract

We show by means of an example that the result of Arrow [Arrow, K.J. (1953), Le role des valeurs boursieres pour la repartition la meilleure des risques, Econometrie, 41-47, CNRS, Paris; translated as The role of securities in the optimal allocation of risk bearing, Review of Economic Studies, 31, 91-96] is problematic when there exist multiple equilibrium continuations to the initial-period component of an intertemporal equilibrium. (C) 2008 Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	445-447
Number of pages	3
Journal	Economics Letters
Volume	100
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2008.03.017
Publication status	Published - Sept 2008
Externally published	Yes

Keywords

sequentially complete markets
rational expectations
time inconsistency
EQUILIBRIA
EXPECTATIONS
INDETERMINACY
EXISTENCE
PRICES

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AB - We show by means of an example that the result of Arrow [Arrow, K.J. (1953), Le role des valeurs boursieres pour la repartition la meilleure des risques, Econometrie, 41-47, CNRS, Paris; translated as The role of securities in the optimal allocation of risk bearing, Review of Economic Studies, 31, 91-96] is problematic when there exist multiple equilibrium continuations to the initial-period component of an intertemporal equilibrium. (C) 2008 Elsevier B.V. All rights reserved.

KW - sequentially complete markets

KW - rational expectations

KW - time inconsistency

KW - EQUILIBRIA

KW - EXPECTATIONS

KW - INDETERMINACY

KW - EXISTENCE

KW - PRICES

U2 - 10.1016/j.econlet.2008.03.017

DO - 10.1016/j.econlet.2008.03.017

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SN - 0165-1765

VL - 100

SP - 445

EP - 447

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

Sequentially complete markets remain incomplete

Abstract

Keywords

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