In an incomplete semimartingale model of a financial market, we consider several risk-averse financial agents who negotiate the price of a bundle of contingent claims. Assuming that the agents’ risk preferences are modelled by convex capital requirements, we define and analyze their demand functions and propose a notion of a partial equilibrium price. In addition to sufficient conditions for th...

abstract main objective of this paper is to investigate the impact of exchange rate misalignment on wheat’s producer estimates (pse), using the 1989-2007 period’s data. for this purpose, vector error correction model (vecm) along with the use of real exchange rate based on purchasing power party (ppp) was applied to estimate nominal equilibrium exchange rates. then, by using market price suppor...

In this paper, we propose an equilibrium model for the joint price formation of allowances issued by regulators in the framework of a cap-andtrade scheme such as the European Union Emissions Trading Scheme (EU ETS) and offset certificates such as CERs generated within the framework of the Clean Development Mechanism (CDM) or the Joint Implementation (JI) of the Kyoto Protocol. The main thrust o...

T paper considers two independent firms that invest in resources such as capacity or inventory based on imperfect market forecasts. As time progresses and new information becomes available, the firms update their forecasts and have the option to trade their resources. The trade contract is determined as the bargaining equilibrium or, alternatively, as the price equilibrium. Assuming a fairly ge...

We study a model where retailers endogenously engage in both promotional advertising to attract loyal customers as well as informational advertising, which consists of deciding whether and what price to list on a price comparison site. We derive a symmetric subgame perfect equilibrium of the model and study the limiting properties of equilibrium prices, promotion, and listing decisions as the n...

This paper aims to address the reasons behind the rapid price declines generally experienced in new durable goods markets. It develops an equilibrium model that separates price declines caused by cost reductions from those caused by declines in markups. The model distinguishes itself from the existing literature by explicitly incorporating the interaction between consumers’forward-looking behav...

This paper applies a model of complementary oligopoly and anticommons pricing to the market for intellectual property rights. Our model evidences the interesting and often overlooked result that, in the market for complementary goods price coordination and monopolistic pricing do not necessarily represent inefficient equilibria, when compared to the alternative Nash equilibrium. Due to the pecu...

This paper studies equilibrium in the futures market for a commodity in a single good economy, which is populated by heterogeneous producers and speculators. The commodity is traded only in the spot market at harvest whereas futures contracts written on the commodity are traded continuously. The model illustrates the role of heterogeneity and non-tradeness in a futures market equilibrium. The r...

This paper examines the equilibrium price effects of the privatization of housing assets that were previously owned and allocated by the state. I develop a theoretical framework that shows that privatization can have ambiguous effects on prices in the private market, and that the degree of misallocation of the assets prior to privatization determines the subsequent price effects. I test the pre...