Complete and incomplete financial markets in multi-good economies

• 成果类型: Article
• 署名作者: Ehling, Paul; Heyerdahl-Larsen, Christian
• 署名单位: BI Norwegian Business School; University of London; London Business School
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2015.10.006
• 发表日期: 2015
• 页码: 438-462
• 关键词: Multi-good economies; Financial market incompleteness; Financial market completeness

摘要

We investigate conditions for endogenous incompleteness and completeness in continuous-time financial markets driven by diffusion processes with multiple consumption goods and heterogeneous agents. We show that for a class of utility functions the financial market is endogenously incomplete. A sufficient condition for market completeness is that the dividend diffusion matrix in units of the numeraire good is invertible. Further, financial market completeness can depend on the choice of the numeraire good since changing the numeraire good implies a change of the risk-free asset and the asset structure. (C) 2015 Elsevier Inc. All rights reserved.