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 |
| Divisions: | Systemic Risk Centre |
| 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 |
| Date Deposited: | 19 May 2015 11:57 |
| Last Modified: | 02 Jan 2021 00:32 |
| Projects: | ES/K002309/1 |
| Funders: | Economic and Social Research Council |
| URI: | http://eprints.lse.ac.uk/id/eprint/62008 |
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