Pareto improving financial innovation in incomplete markets
Pareto improving financial innovation in incomplete markets
复制标题
帕累托改善不完全市场中的金融创新
DOI：
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发表时间：
1998
期刊：
影响因子：
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通讯作者：
A. Citanna
中科院分区：
文献类型：
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作者：
D. Cass;A. Citanna
总结。在本文中，我们开发了一种差分技术来研究不完全市场中金融创新的福利效应。利用这一技术，在通过禀赋和效用函数对标准竞争、纯交换经济进行参数化之后，我们建立了以下（弱）一般性质：设S为国家数量，I为资产数量，H为家庭数量，并考虑一个特定的金融均衡。然后，如果市场不完全程度足够大于家庭异质性程度，则S−I≥2H−1 [p. 1]。S−I≥H+1]，则存在一个开放的单一资产集合。对资产]的引入可以使每个家庭变得更富裕(以及对称地，一组开放的单一资产[参见。成对的资产（它们的引入会让它们的处境变得更糟）。我们还设计了一个非常简单的非参数程序，将广泛的家庭异质性减少到可管理的规模，这个程序不仅使我们对市场不完全性的限制更容易接受，而且在涉及平滑分析的其他应用中也被证明是非常有用的。
Summary. In this paper we develop a differential technique for investigating the welfare effects of financial innovation in incomplete markets. Utilizing this technique, and after parametrizing the standard competitive, pure-exchange economy by both endowments and utility functions, we establish the following (weakly) generic property: Let S be the number of states, I be the number of assets and H be the number of households, and consider a particular financial equilibrium. Then, provided that the degree of market incompleteness is sufficiently larger than the extent of household heterogeneity, S−I≥2H−1 [resp. S−I≥H+1], there is an open set of single assets [resp. pairs of assets] whose introduction can make every household better off (and, symmetrically, an open set of single assets [resp. pairs of assets] whose introduction can make them all worse off ). We also devise a very simple nonparametric procedure for reducing extensive household heterogeneity to manageable size, a procedure which not only makes our restrictions on market incompleteness more palatable, but could also prove to be quite useful in other applications involving smooth analysis.