Options and sunspots in a simple monetary economy

被引:9
作者
Antinolfi, G [1 ]
Keister, T [1 ]
机构
[1] Cornell Univ, Dept Econ, Ithaca, NY 14853 USA
关键词
JEL Classification Numbers: D52; D84; E62; G10.;
D O I
10.1007/s001990050189
中图分类号
F [经济];
学科分类号
02 ;
摘要
We study sunspot immunity in a dynamic monetary economy in which consumers are allowed to trade put and call option contracts on the general price level. We define the concept of strong sunspot immunity to characterize economies that have no sunspot equilibria regardless of the number of extrinsic states and their probabilities of occurrence. We show that a small number of option contracts can make an economy strongly sunspot immune. In addition, we demonstrate how asset re-trading opportunities, and the associated capital gains and losses, reduce the number of options needed for this result to obtain.
引用
收藏
页码:295 / 315
页数:21
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