上海财经大学经济学院
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929期 10月16日 :Achieving Pareto Optimality Even Though Prices are “Wrong”(Nilanjan ROY, Assistant Professor,City University of Hong Kong)

【主讲】Nilanjan ROY (Assistant Professor,City University of Hong Kong)

【主题】Achieving Pareto Optimality Even Though Prices are “Wrong”

【时间】2018年10月16日 (周二) 14:00-17:30

【地点】上海财经大学经济学院楼312室

【语言】英文

【摘要】We design an infinite horizon dynamic asset market experiment with perishable consumption and a long-lived asset where the gains from trade originate from individuals experiencing idiosyncratic income shocks. The presence of traders having induced motive to smooth consumption is not sufficient to eliminate price bubbles. Despite the asset being consistently priced higher than the risk-neutral fundamental value, trades improve welfare with investors moving closer to Pareto optimal allocations. The co-existence of traders with income shocks along with those having no induced motive to trade does not hinder in the former smoothing their consumption stream. Our results hold for markets with and without aggregate risk.

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