Suchergebnisse

Recommended readings (Machine generated): K.J. Arrow [1953], (1964), 'The Role of Securities in the Optimal Allocation of Risk-Bearing', Review of Economic Studies, 31 (2), April, 91-6 -- Peter A. Diamond (1967), 'The Role of a Stock Market in a General Equilibrium Model with Technological Uncertainty', American Economic Review, 57 (4), September, 759-76 -- Roy Radner (1972), 'Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets', Econometrica, 40 (2), March, 289-303 -- Jacques H. Drèze (1974), 'Investment Under Private Ownership: Optimality, Equilibrium and Stability', in Jacques H. Dreze (ed) (ed.), Allocation Under Uncertainty: Equilibrium and Optimality, Chapter 9, New York, NY: John Wiley and Sons, 129-66 -- Oliver D. Hart (1975), 'On the Optimality of Equilibrium when the Market Structure is Incomplete', Journal of Economic Theory, 11 (3), December, 418-43 -- David Cass (2006), 'Competitive Equilibrium with Incomplete Financial Markets', Journal of Mathematical Economics, 42 (4/5), 384-405 -- Michael J.P. Magill and Wayne J. Shafer (1990), 'Characterisation of Generically Complete Real Asset Structures', Journal of Mathematical Economics, 19 (1/2), 167-94 -- Darrell Duffie and Wayne Shafer (1985), 'Equilibrium in Incomplete Markets: I. A Basic Model of Generic Existence', Journal of Mathematical Economics, 14 (3), 285-300 -- M.D. Hirsch, M. Magill and A. Mas-Colell (1990), 'A Geometric Approach to a Class of Equilibrium Existence Theorems', Journal of Mathematical Economics, 19 (1/2), 95-106 -- Steinar Ekern and Robert Wilson (1974), 'On the Theory of the Firm in an Economy with Incomplete Markets', Bell Journal of Economics and Management Science, 5 (1), Spring, 171-80 -- Roy Radner (1974), 'A Note on Unanimity of Stockholders' Preferences among Alternative Production Plans: A Reformulation of the Ekern-Wilson Model', Bell Journal of Economics and Management Science, 5 (1), Spring, 181-4 -- Sanford J. Grossman and Oliver D. Hart (1979), 'A Theory of Competitive Equilibrium in Stock Market Economies', Econometrica, 47 (2), March, 293-329 -- Joseph E. Stiglitz (1982), 'The Inefficiency of the Stock Market Equilibrium', Review of Economic Studies, XLIX (2), April, 241-61 -- John D. Geanakoplos and Heraklis M. Polemarchakis (1986), 'Existence, Regularity, and Constrained Suboptimality of Competitive Allocations when the Asset Market is Incomplete', in Walter P. Heller (ed), Ross M. Starr (ed) and David A. Starrett (ed) (eds), Uncertainty, Information, and Communication: Essays in Honor of Kenneth J. Arrow, Volume III, Chapter 3, Cambridge: Cambridge University Press, 65-95 -- J. Geanakoplos, M. Magill, M. Quinzii and J. Drèze (1990), 'Generic Inefficiency of Stock Market Equilibrium when Markets are Incomplete', Journal of Mathematical Economics, 19 (1/2), 113-51 -- Alessandro Citanna, Atsushi Kajii and Antonio Villanacci (1998), 'Constrained Suboptimality in Incomplete Markets: A General Approach and Two Applications', Economic Theory, 11 (3), 495-521 -- John Geanakoplos and Andreu Mas-Colell (1989), 'Real Indeterminacy with Financial Assets', Journal of Economic Theory, 47 (1), February, 22-38 -- David Cass (1992), 'Sunspots and Incomplete Financial Markets: The General Case', Economic Theory, 2 (3), 341-58 -- Piero Gottardi and Atsushi Kajii (1999), 'The Structure of Sunspot Equilibria: The Role of Multiplicity', Review of Economic Studies, 66 (3), July, 713-32

THIS PAPER EXAMINES THE THEORY OF OPTIMAL INSURANCE PURCHASING IN THE PRESENCE OF UNINSURABLE BACKGROUND RISK. EXISTING THEOREMS CONCERNING THE OPTIMAL LEVEL OF INSURANCE AND THE OPTIMAL FORM OF AN INSURANCE CONTRACT ARE SHOWN TO HOLD ONLY UNDER RESTRICTED MARKET AND RISK ASSUMPTIONS. IN PARTICULAR, CONDITIONS SUFFICIENT FOR THE OPTIMALITY OF FULL COVERAGE OR SUFFICIENT FOR THE OPTIMALITY OF DEDUCTIBLE POLICIES DEPEND OND THE CORRELATION BETWEEN INSURABLE AND UNINSURABLE RISKS. THESE RESULTS MAY PROVIDE A PARTIAL EXPLANATION WHY EXISTING THEORY IS OFTEN CONTRADICTED BY OBSERVABLE BEHAVIOR.

Focusing on tax policy with incomplete asset markets, we create a framework for proving the existence of Pareto improving taxes, for computing them, and for bounding the improvement. The protagonist is the price adjustment following an intervention. If the price adjustment is sufficiently sensitive to risk aversions, then generically in economies equilibria admit Pareto improving tax rates–if tax parameters and incompleteness exceed household heterogeneity, and multiple commodities exist. We explain how to verify this sensitivity test with standard demand theory. We then illustrate that different policies generically admit Pareto improving taxes, by showing they all pass this sensitivity test. These include (a) taxes on asset purchases, (b) lump-sum taxes on present income plus one flat tax on asset purchases, (c) asset measurable taxes on capital gains, (d) excise taxes on current commodities.