Equilibrium on international assets and goods

Patrice Fontaine () and Cuong Le van
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Patrice Fontaine: CERAG - Université Pierre Mendès France, Grenoble, https://www.cerag.org/

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: Most of the international asset pricing models are developed in the situation where purchasing power parity (PPP) is not respected. Investors of different countries do not agree on expected security returns. However, in this case, an equilibrium on the international assets market may exist but not on the international goods market. Our purpose in this paper is to give conditions under which we have equilibrium, not only on the international assets markets but also on the international good market. More precisely, we focus on the link between no-arbitrage, equilibrium and PPP. At equilibrium, assets markets must clear and international goods market balance. In particular, equilibrium goods prices respect the PPP

Keywords: International assets and goods markets; exchange rates; securities returns; no-arbitrage; purchasing power parity; general equilibrium (search for similar items in EconPapers)
JEL-codes: D53 F31 G11 G15 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2010-07
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:10066

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