KS11-July6 is joint work with Karl Schmedders. We consider an stochastic olg economy with complete markets and show that differences in beliefs can lead to large asset price volatility. This is the latest version (July 2011). We also did a related paper for the AER-Papers and Proceedings, called 'Financial Innovation and Asset Price Volatility', you can find it here, together with the technical appendix. collcomFeb13_2012, 'Dynamic competitive equilibrium with complete markets and collateral constraints' is joint work with Piero Gottardi. We consider a collateral constrained economy with complete markets. Competitive equilibrium turns out to be simple, but constrained suboptimal. Pretty surprising... bgks_Feb28.pdf 'Margin Requirements and Asset Prices' formerly circulated under the title 'Collateral Requirements and Asset Prices' is joint work with Brumm, Grill and Schmedders. This is a revised version. Revision-3-4-2012.pdf 'Recursive Contracts, Lotteries and Weakly Concave Pareto Sets' is the latest, newly revised version, joint with Hal Cole |