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Optimality of Stationary Asset Equilibria Under A Stochastic Inflation Tax

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  • Bernhard Eckwert

Abstract

In this paper we characterize the set of Pareto optimal asset equilibria in an incomplete market OLG framework when inflation‐tax‐financed monetary shocks impinge on the economy. We show that it is the strength rather than the mere presence of monetary disturbances that accounts for, if the market mechanism fails to achieve allocating efficiency.

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  • Bernhard Eckwert, 1992. "Optimality of Stationary Asset Equilibria Under A Stochastic Inflation Tax," Mathematical Finance, Wiley Blackwell, vol. 2(1), pages 47-60, January.
    • Handle: RePEc:bla:mathfi:v:2:y:1992:i:1:p:47-60
    DOI: 10.1111/j.1467-9965.1992.tb00025.x
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    Cited by:

    1. Eckwert, Bernhard, 1993. "Equilibrium term structure relations of risky assets in incomplete markets," Discussion Papers, Series II 214, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    2. Drees, Burkhard & Eckwert, Bernhard, 2000. "Leverage and the price volatility of equity shares in equilibrium," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 155-167.
    3. Eckwert, Bernhard, 1996. "Equilibrium term structure relations of risky assets in incomplete markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(3), pages 327-346.
    4. Drees, Burkhard & Eckwert, Bernhard, 2000. "Price volatility and risk with non-separability of preferences," Mathematical Social Sciences, Elsevier, vol. 39(1), pages 21-34, January.

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