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Effectively Complete Asset Markets with Multiple Goods and over Multiple Periods

Chiaki Hara ()

No 685, KIER Working Papers from Kyoto University, Institute of Economic Research

Abstract: Following LeRoy and Werner (2001), we propose a definition of effectively complete asset markets in a model with multiple goods and multiple periods, and establish the first and second welfare theorems in such markets. As applications of the first welfare theorem, we derive the sunspot irrelevance theorem of Mas-Colell (1992), and extend the no-retrade theorem of Judd, Kubler, and Schmedders (2003) and Kubler and Schmedders (2003) to the case where the asset prices need not be time-invariant Markov processes.

Keywords: Complete markets; effectively complete markets; welfare theorems; sunspot; Markov environment (search for similar items in EconPapers)
JEL-codes: D51 D52 D53 D61 D91 G11 G12 (search for similar items in EconPapers)
Pages: 16pages
Date: 2009-11
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