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Walrasian foundations for equilibria in segmented markets

Rahi, Rohit and Zigrand, Jean-Pierre (2013) Walrasian foundations for equilibria in segmented markets. SRC Discussion Paper, No 6. Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

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Abstract

We study an economy with segmented financial markets and strategic arbitrageurs who link these markets. We show that the equilibrium of the arbitraged economy is asymptotically Walrasian in the sense that it converges to the equilibrium of an appropriately defined competitive economy with no arbitrageurs. The equilibrium of this competitive economy, called Walrasian equilibrium with restricted consumption, is related to - though not identical to - the well-known Walrasian equilibrium with restricted participation. This characterization serves to clarify the role that arbitrageurs play in integrating markets. - See more at: http://www.systemicrisk.ac.uk/publications/discussion-papers/walrasian-foundations-equilibria-segmented-markets#sthash.G3XjPMFl.dpuf

Item Type: Monograph (Discussion Paper)
Official URL: http://www.systemicrisk.ac.uk
Additional Information: © 2013 The Authors
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
JEL classification: D - Microeconomics > D5 - General Equilibrium and Disequilibrium > D52 - Incomplete Markets
G - Financial Economics > G1 - General Financial Markets > G10 - General
Sets: Research centres and groups > Systemic Risk Centre
Date Deposited: 19 May 2015 11:57
Last Modified: 19 Jan 2016 11:56
Projects: ES/K002309/1
Funders: Economic and Social Research Council
URI: http://eprints.lse.ac.uk/id/eprint/62008

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