Michael ZierhutInstitute of Financial Economics
10099 Berlin, Germany
Research AreaMicroeconomic Theory, Incomplete Markets, Financial Economics, Theory of the Firm
Curriculum VitaeClick here to download my CV
Constrained Efficiency versus Unanimity in Incomplete Markets(Economic Theory, 64(1), 2017) [ Link ]
In production economies with incomplete markets, shareholders disagree about optimal production plans, and there is no natural objective of the firm. From a normative perspective, the firm should choose plans that lead to a constrained Pareto efficient allocation. From a positive perspective, all decisions of the firm should be supported by a majority of shareholders. This paper asks whether one can design objectives for the firm that meet both normative and positive criteria. The answer is negative: Constrained efficient production plans would generically be turned down by a majority of shareholders. This finding is related to the generic non-existence of Makowski equilibria.
Partially Revealing Rational Expectations Equilibrium with Real Assets and Binding Constraints(Economic Theory 62(3), 2016) [ Link ]
This paper studies partially revealing rational expectations equilibria. In a setting with a finite state space and a competitive market for real assets, there exists an open set of economies with such equilibria. They arise when informed agents have corner solutions. When partially revealing and fully revealing equilibria coexist, all Pareto constellations are possible: the partially revealing may Pareto dominate the fully revealing, the fully revealing may Pareto dominate the partially revealing, or the two cannot be Pareto ranked.
Comment on "Collateral Premia and Risk Sharing under Limited Commitment"(Economic Theory Bulletin 2(1), 2014) [ Link ]
In a recent issue of Economic Theory, Kilenthong (Econ Theory 46:475-501, 2011) studies the problem of a social planner who can redistribute future consumption by changing agentsí asset portfolios subject to individual collateral constraints. One of the findings is that aggregate consumption good endowment and collateral asset payoffs together imply a minimum level of aggregate collateral beyond which optimal allocations exhibit full risk sharing. However, this result is incorrect. In the present note it is shown by means of a counterexample that: (1) when such a minimum level exists, it depends on the welfare weights, (2) such a minimum level need not exist.