I do not take any student as a research fellow ("kenkyu-sei" in Japanese) of this institute unless I know him/her in person. Please do not email or ring me to make an inquiry on this matter. In any case, I shall not respond to any such message.
Postal Mail: Institute of Economic Research, Kyoto University
Yoshida-Honmachi, Sakyo-ku Kyoto 606-8501 Japan
Effectively Complete Asset Markets with Multiple Goods and over Multiple Periods (Version: May 26, 2010)
This is a newer version than the
KIER Discussion Paper Series No. 685.
Following LeRoy and Werner (2001), we propose a definition of effectively complete asset markets in a model with multiple goods and multiple periods, and establish the first welfare theorem in such markets. As applications of the theorem, we derive the Pareto-efficiency of equilibrium allocation in economies with no aggregate risk and the mutual fund theorem. We also extend the sunspot irrelevance theorem of Mas-Colell (1992) to the model of multiple periods and the no-retrade theorem of Judd, Kubler, and Schmedders (2003) and Kubler and Schmedders (2003) to the case where the asset prices need not be time-invariant Markov processes. JEL Classification Codes: D51, D52, D53, D61, D91, G11, G12.
Keywords: Complete asset markets; effectively complete asset markets; first welfare theorem; aggregate risk; mutual fund theorem; sunspot; Markov environment.
Heterogeneous Beliefs in a Continuous-Time Model (Version: March 15, 2010)
This is the same version the
KIER Discussion Paper Series No. 701.
In an exchange economy under uncertainty populated by consumers having constant and equal relative risk aversion but heterogeneous probabilistic beliefs, we analyze the nature of the representative consumer's probabilistic belief and discount rates. We prove a formula that implies that the representative consumer's discount rates are raised or lowered by belief heterogeneity depending on whether the constant relative risk aversion is greater or smaller than one. We also show that the representative consumer's discount rates may be a hyperbolic function of time even when the individual consumers' discount rates are equal to one another, as long as their beliefs are heterogeneous. JEL Classification Codes: D51, D53, D81, D91, G12, G13, Q51, Q54.
Keywords: Representative consumer, expected utility, hyperbolic discounting, constant relative risk aversion, Ito's Lemma, Girsanov's Theorem.
in an Exchange Economy with One Good and One Bad, published in Kyokyuroku
(Workshop Proceeding) no. 1337 (August 2003), pp. 70-80, Research Institute
for Mathematical Sciences, Kyoto University. Abstract: We consider
an exchange economy with two commodities, of which one is a good, which
generates utility to all consumers, and the other is a bad, which causes
disutility to all consumers. We look into "unlinked" allocations, that is,
allocations at which almost every consumer consumes either the good or the
bad, but not both, and ask under what conditions there exist unlinked and
individually rational allocations and also unlinked and envy-free allocations.
We also examine efficient and equilibrium allocations, taking special care of
the cases where the so called minimum condition is violated.
Theory of Corporate Debt
Issues under Asymmetric Information: Informativeness of Security Prices of
Linear Rational Expectations Equilibrium in Incomplete Markets, published
in Yucho Shikin Kenkyu (Postal Saving Research) vol. 12 (September
2003), pp. 1-31 (in Japanese). Abstract: This paper analyzes the
informativeness of security prices of linear rational expectations
equilibrium. In particular, it characterizes the information conveyed by
equilibrium prices in terms of the trading volumes of the informed trader. The
model of the paper deserves special attention in two respects. First, the
dimensions of risk factors affecting security payoffs, initial endowments, and
noisy signals are completely arbitrary. Second, there is a limited
participation constraint, in the sense that some uninformed traders can access
some but not all of security markets.
Recent Advances in Financial Engineering 2010, World Scientific, Singapore, 2011, coedited with Masaaki Kijima, Yukio Muromachi, Hidetaka Nakaoka, and Katsumasa Nishide. The table of contents can be obtained from its web site.
Recent Advances in Financial Engineering 2009, World Scientific, Singapore, 2010, coedited with Masaaki Kijima, Keiichi Tanaka, and Yukio Muromachi. The table of contents can be obtained from its web site.
Introduction to Microeconomics, coauthored with Shin-Ichi Takekuma, Koichi Kaneko, Tadanobu Tanno, Hiroshi Ogawa, and Shinji Yamashige, Diamond Inc, 2005 (in Japanese). My contribution is "Chapter 5: Analysis of security markets" on pp. 160-215. The table of contents can be obtained from its web site.
Solution Manual to Mas-Colell, Whinston, and Green's 'Microeconomic
Theory', coauthored with Steve Tadelis and Ilya Segal, Oxford University Press, 1997. My contribution is for Parts 1 and 4. I have no authority to distribute this manual. Neither do I have any spare copy. If you are a course instructor, please contact Oxford University Press through their web
site. Please do not direct any inquiry about its availability to
me. Any comments on the contents of the manual are, however, more than