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Financial innovation and price volatility

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  • Alessandro Citanna

Abstract

In a two-period finite competitive exchange economy with incomplete financial markets and retrading, we show the generic existence of financial innovation which decreases equilibrium price volatility (as well as innovation which increases it). The existence

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  • Alessandro Citanna, 1996. "Financial innovation and price volatility," GSIA Working Papers 9, Carnegie Mellon University, Tepper School of Business.
    • Handle: RePEc:cmu:gsiawp:9
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    File URL: http://student-3k.tepper.cmu.edu/gsiadoc/bighurt/vo051397.ps
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    Cited by:

    1. Zapatero, Fernando, 1998. "Effects of financial innovations on market volatility when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 22(4), pages 597-626, April.

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