Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/151357
Full metadata record
DC FieldValueLanguage
dc.contributor.authorKang, Minwooken_US
dc.date.accessioned2021-06-23T05:04:59Z-
dc.date.available2021-06-23T05:04:59Z-
dc.date.issued2019-
dc.identifier.citationKang, M. (2019). The welfare cost of excess volatility in incomplete markets with sunspots. Macroeconomic Dynamics, 23(3), 1062-1073. https://dx.doi.org/10.1017/S1365100517000141en_US
dc.identifier.issn1365-1005en_US
dc.identifier.urihttps://hdl.handle.net/10356/151357-
dc.description.abstractIn an incomplete markets economy with sunspots, the Pareto-criterion cannot rank sunspot equilibria of different levels of excess price-level volatility. Therefore, I propose a measure of excess volatility cost in terms of a period-0 endowment good. Ex-ante endowment subsidies are provided, in theory, to each consumer, so that the resulting equilibrium allocation of the higher volatility is Pareto-equivalent to the original benchmark equilibrium with a lower volatility level. The aggregate volatility cost is computed as the sum of all consumers' subsidies. Focusing on local analysis that considers small variations around a given volatility level, I show that the aggregate cost strictly increases in volatility even though each individual cost does not necessarily have this property.en_US
dc.description.sponsorshipMinistry of Education (MOE)en_US
dc.description.sponsorshipNanyang Technological Universityen_US
dc.language.isoenen_US
dc.relationRG171/14en_US
dc.relation.ispartofMacroeconomic Dynamicsen_US
dc.rights© 2017 Cambridge University Press. All rights reserved.en_US
dc.subjectSocial sciences::Economic theoryen_US
dc.titleThe welfare cost of excess volatility in incomplete markets with sunspotsen_US
dc.typeJournal Articleen
dc.contributor.schoolSchool of Social Sciencesen_US
dc.identifier.doi10.1017/S1365100517000141-
dc.identifier.scopus2-s2.0-85018314861-
dc.identifier.issue3en_US
dc.identifier.volume23en_US
dc.identifier.spage1062en_US
dc.identifier.epage1073en_US
dc.subject.keywordsExcess Volatilityen_US
dc.subject.keywordsMarket Incompletenessen_US
dc.description.acknowledgementI appreciate helpful comments from Karl Shell, Larry Selden, Lei Sandy Ye, and two anonymous referees. I thank Peng Yudan and Ton My Linh for research assistance. I gratefully acknowledges research support from Nanyang Technological University (NTU) Start-up Grant and AcRF Tier-1 Grant (RG171/14).en_US
item.grantfulltextnone-
item.fulltextNo Fulltext-
Appears in Collections:SSS Journal Articles

Page view(s)

73
Updated on Dec 8, 2021

Google ScholarTM

Check

Altmetric


Plumx

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.