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1.
Nigar Hashimzade 《Economic Theory》2003,21(4):907-912
Summary. In this paper I analyze the general equilibrium in a random Walrasian economy. Dependence among agents is introduced in the
form of dependency neighborhoods. Under the uncertainty, an agent may fail to survive due to a meager endowment in a particular
state (direct effect), as well as due to unfavorable equilibrium price system at which the value of the endowment falls short
of the minimum needed for survival (indirect terms-of-trade effect). To illustrate the main result I compute the stochastic
limit of equilibrium price and probability of survival of an agent in a large Cobb-Douglas economy.
Received June 7, 2001; revised version: January 7, 2002
RID="*"
ID="*" I would like to thank Mukul Majumdar and Thomas DiCiccio for helpful discussion and an anonymous referee for valuable
comments and suggestions. 相似文献
2.
Summary. We study the implications of random discount rates of future generations for saving behavior and capital holdings in a steady
state competitive equilibrium with heterogeneous population. A well-known difficulty in deterministic economies with heterogeneous
households is that in steady state only the most patient households hold capital. In this paper we state conditions under
which this random discounting is sufficient for households other than the most patient ones to save. We thus provide a simple
and natural way of overcoming the aforementioned difficulty.
Received: December 28, 1998; revised version: May 19, 1999 相似文献
3.
Tito Pietra 《Economic Theory》2001,18(3):649-659
Summary. I consider the set of equilibria of two-period economies with S extrinsic states of nature in the second period and I assets
with linearly independent nominal payoffs. Asset prices are variable. If the number of agents is greater than (S-I), the payoff
matrix is in general position and S 2I, the set of equilibrium allocations generically (in utility function space) contains a smooth manifold of dimension (S-1).
Moreover, the map from states o
f nature to equilibrium allocations (restricted to this manifold) is one-to-one at each equilibrium.
Received: February 23, 1998; revised version: June 1, 2000 相似文献
4.
Summary. We consider the nature of the relationship between the real exchange rate and capital formation. We present a model of a small open economy that produces and consumes two goods, one tradable and one not. Domestic residents can borrow and lend abroad, and costly state verification (CSV) is a source of frictions in domestic credit markets. The real exchange rate matters for capital accumulation because it affects the␣potential for investors to provide internal finance, which mitigates the CSV problem. We demonstrate that the real exchange rate must monotonically approach its steady state level. However, capital accumulation need not be monotonic and real exchange rate appreciation can be associated with either a rising or a falling capital stock. The relationship between world financial market conditions and the real exchange rate is also investigated. Received: October 3, 1997; revised version: October 23, 1997 相似文献
5.
Equilibrium in a decentralized market with adverse selection 总被引:2,自引:0,他引:2
Max R. Blouin 《Economic Theory》2003,22(2):245-262
Summary. This paper deals with trade volume and distribution of surplus in markets subject to adverse selection. In a model where
two qualities of a good exist, I show that if trade is decentralized (i.e. conducted via random pairwise meetings of agents),
then all units of the good are traded, and all agents have positive ex-ante expected payoffs. This feature is present regardless
of the quality distribution, and persists in the limit as discounting is made negligible. This offers a sharp contrast to
models of centralized trade with adverse selection (Akerlof, Wilson).
Received: April 2, 2001; revised version: March 29, 2002
RID="*"
ID="*" This research was funded by a grant from UQAM. I wish to thank Roberto Serrano and seminar participants at UQAM, Queen's
University at Kingston, the 2001 CEME General Equilibrium Conference (Brown University), and the 2001 North American Summer
Meeting of the Econometric Society (University of Maryland) for comments. 相似文献
6.
Summary. We apply the dynamic stochastic framework proposed in recent evolutionary literature to a class of coordination games played
simultaneously by the entire population. In these games payoffs, and hence best replies, are determined by a summary statistic
of the population strategy profile. We demonstrate that with simultaneous play, the equilibrium selection depends crucially
on how best responses to the summary statistic remain piece-wise constant. In fact, all the strict Nash equilibria in the
underlying stage game can be made stochastically stable depending on how the best response mapping generates piece-wise constant
best responses.
Received: February 12, 2001; revised version: October 29, 2001 相似文献
7.
Hyun Park 《Economic Theory》2000,15(3):565-584
Summary. This paper demonstrates global stability of a competitive equilibrium in a multi-sector model of many firms, each of which
exhibits constant returns to scale technology, and of infinitely lived consumers, whose preferences are recursive but not
necessarily additively separable. In the topology induced by a sup-norm, the dominant diagonal blocks condition (Araujo and
Scheinkman (Econometrica 45, 1977)) allows us to apply the implicit function theorem to obtain continuity of the equilibrium path. If a stationary
equilibrium is locally asymptotically stable, then the continuity of the equilibrium path and smoothness of a weight function
on heterogeneous consumers imply that all equilibrium paths converge to the steady state. The dominant diagonal blocks condition
is also shown to be sufficient for the local asymptotic turnpike property.
Received: December 13, 1996; revised version: June 2, 1999 相似文献
8.
Summary. This paper investigates the characteristics of the optimal posted price in the standard sequential search paradigm. Much of the intuition gleaned from the extensive sequential search literature in which the seller adopts a reservation price does not carry over to the posted price setting. For example, an increase in buyer valuations can lead to a reduction in the optimal posted price. We do, however, provide sufficient conditions on the hazard rate function h which ensure that an increase in demand induces an increase in the optimal posted price. As exhibited herein, the analysis of the posted price model depends critically upon analytical properties of h. Amongst the issues treated are the elasticity of demand, finite horizon, sale of multiple units, and competitive equilibrium. Received: October 21, 1999; revised version: March 7, 2000 相似文献
9.
Alvaro Sandroni 《Economic Theory》2003,21(2-3):423-433
Summary. In this paper I consider a dynamically complete market model without intrinsic uncertainty. Agents' beliefs are different,
but correct in the limit. Some agents are more patient than others. I show that infinitely often share prices are low and
the economy stagnates. Also, infinitely often share prices are high and the economy grows. The changes from growth to stagnation
and from stagnation to growth are not caused by exogenous shocks. They are caused by speculative trade among agents with different
propensities to save and invest.
Received: January 8, 2001; revised version: April 11, 2002
RID="*"
ID="*" I thank an anonymous referee for helpful comments. I gratefully acknowledge financial support from the National Science
Foundation. 相似文献
10.
Gautam Bose 《Economic Theory》2003,22(2):457-467
Summary. An explanation is provided for the evolution of segmented marketplaces in a pairwise exchange economy. Large traders operating
in a pairwise exchange market prefer to meet other similar traders, because this enables them to trade their endowments in
a smaller number of encounters. Large and small traders, however, cannot be distinguished a priori, and the existence of the small traders imposes a negative externality on the large traders. We show that, under conditions
which are not very restrictive, establishing a separate market (perhaps with an entry fee) designated for the large traders
induces the two types of traders to segment themselves. However, this segmentation is not necessarily welfare improving.
Received: January 12, 2001; revised version: July 17, 2002
RID="*"
ID="*" I wish to thank the participants in the Friday Theory Workshop at the University of Sydney, and the participants at
the 17th Australian Theory Workshop at the University of Melbourne for comments and discussion. John Hillas and Stephen King
pointed out an omission in an earlier version, and Catherine de Fontenay and Hodaka Morita made extensive comments on earlier
drafts. This work was initiated while I was a short-term visitor at the University of Southern California. 相似文献
11.
Guillaume Bernis 《Economic Theory》2002,20(2):295-320
Summary. This paper deals with the existence of equilibrium in a dynamic reinsurance market with short sale constraints, driven by
a marked point process, as studied in Bernis and Jouini (2001). We use the set of reinsurance treaties as consumption set,
which is the positive orthant of some Banach lattice that can be identified to a space of martingales, . The properness of preferences is a key assumption for us to prove the existence of an equilibrium. We provide a sufficient
condition for the preferences to be proper in term of loading factor of the reinsurance premium.
Received: June 15, 2000; revised version: May 17, 2001 相似文献
12.
Summary. We provide a characterization of selection correspondences in two-person exchange economies that can be core rationalized
in the sense that there exists a preference profile with some standard properties that generates the observed choices as the
set of core elements of the economy for any given endowment vector. The approach followed in this paper deviates from the
standard rational choice model in that a rationalization in terms of a profile of individual orderings rather than in terms
of a single individual or social preference relation is analyzed.
Received: April 20, 2000; revised version: September 25, 2001 相似文献
13.
Summary. This paper extends the work of Ray and Vohra [3]. It ascertains which partitions of players will emerge and what actions
will these players choose under each partition, when they can sign binding agreements and their actions have externalities.
The emphasis, however, is placed on situations with multiple outcomes and how agents behave in the presence of such multiplicity.
In particular, a deviating coalition considers all the likely outcomes that may prevail upon its deviation, and selects (if
possible) a subset of them. Three augmentations of Ray and Vohra's [3] solution concept are defined, capturing three distinct
behavioral assumptions. Efficiency of and the relation between the three notions are discussed.
Received: October 9, 2001; revised version: April 22, 2002
RID="*"
ID="*" I wish to thank Licun Xue, Joseph Greenberg and the participants of PET 2000 for very helpful suggestions. I am indebted
to an anonymous referee for his/her valuable comments. The paper has been previously circulated under the title Binding Agreements. 相似文献
14.
Yeneng Sun 《Economic Theory》1999,14(3):507-544
Summary. The aim of this paper is to develop some measure-theoretic methods for the study of large economic systems with individual-specific randomness and multiple optimal actions. In particular, for a suitably formulated continuum of correspondences, an exact version of the law of large numbers in distribution is characterized in terms of almost independence, which leads to several other versions of the law of large numbers in terms of integration of correspondences. Widespread correlation due to multiple optimal actions is also shown to be removable via a redistribution. These results allow the complete removal of individual risks or uncertainty in economic models where non-unique best choices are inevitable. Applications are illustrated through establishing stochastic consistency in general equilibrium models with idiosyncratic shocks in endowments and preferences. In particular, the existence of “global” solutions preserving microscopic independence structure is shown in terms of competitive equilibria for the cases of divisible and indivisible goods as well as in terms of core for a case with indivisible goods where a competitive equilibrium may not exist. An important feature of the idealized equilibrium models considered here is that standard results on measure-theoretic economies are now directly applicable to the case of random economies. Some asymptotic interpretation of the results are also discussed. It is also pointed out that the usual unit interval [0,1] can be used as an index set in our setting, provided that it is endowed together with some sample space a suitable larger measure structure. Received: September 14, 1998; revised version: January 6, 1999 相似文献
15.
Summary. We develop an equilibrium model of illiquid asset valuation based on search and matching. We propose several measures of
illiquidity and show how these measures behave. We also show that the equilibrium amount of search may be less than, equal
to or greater than the amount of search that is socially optimal. Finally, we show that excess returns on illiquid assets
are fair games if returns are defined to include the appropriate shadow prices.
Received: June 25, 2000; revised version: October 24, 2000 相似文献
16.
Summary. We study how currency restrictions and government transaction policies affect the values of fiat currencies in a two country,
divisible good, search model. We show that these policies can generate equilibria where both currencies circulate as medium
of exchange and where currency exchange occurs between citizens of different countries. Restrictions on the internal use of
foreign currency can cause the domestic currency to be relatively more valuable to domestic agents while taxes on domestic
currency create an incentive for home agents to hold foreign currency. We demonstrate that some policies increase prices and
lower welfare while others do the reverse.
Received: September 5, 2001; revised version: March 1, 2002 相似文献
17.
Steven Russell 《Economic Theory》2003,22(1):111-140
Summary. This paper uses a general equilibrium model to study the determination of the exchange rate in an economy with fundamental
uncertainty. The model has steady state equilibria in which the exchange rate is constant. These equilibria may coexist with
“quasi-fundamental” equilibria – nonstationary equilibria in which the exchange rate displays stochastic fluctuations that
are correlated with the fluctuations in fundamental random variables. The quasi-fundamental equilibria are Pareto dominated
by the corresponding constant-exchange-rate steady states. They also converge to these steady states, inevitably or with positive
probability.
Received: October 2, 1999; revised version: March 26, 2002
RID="*"
ID="*" This paper began as a joint project with Alex Mourmouras, who has made many helpful comments and suggestions but is
not responsible for any errors or deficiencies. In addition, I thank an anonymous referee for helpful comments. 相似文献
18.
Valeri M. Marakulin 《Economic Theory》2001,18(3):621-633
Summary. The aim of the paper is to provide a new proof of the Mas-Colell–Richard existence of equilibrium result when preferences
are non-transitive and incomplete. Our proof generalizes the main ideas of the Negishi approach to the case of unordered preferences.
Received: January 10, 1996; revised version: November 23, 1999 相似文献
19.
Rim Lahmandi-Ayed 《Economic Theory》2001,17(3):665-674
In a pure exchange economy, agents have the possibility of behaving strategically by putting only a part of their initial endowments on the market. An oligopoly equilibrium is defined to be a Nash equilibrium of the game in which agents choose simultaneously quantities to be put on the market. It is proved that under standard hypotheses, the oligopoly equilibrium leads to the competitive equilibrium when the economy is replicated an infinite number of times. Received: May 26, 1999; revised version: April 3, 2000 相似文献
20.
Devaluation of fixed exchange rates: optimal strategy in the presence of speculation 总被引:1,自引:0,他引:1
Ivan Pastine 《Economic Theory》2000,15(3):631-661
Summary. This paper analyzes devaluations in a fixed exchange rate system by endogenizing both the speculation and devaluation decisions.
It is shown that deterministic devaluation rules are generally sub-optimal for the central bank. In order to deter speculation
the central bank introduces uncertainty into the timing of devaluation. The nature this mixed strategy is derived, as is the
optimal strategy for speculators. The analysis allows an explanation of successful devaluations that are not precipitated
by a speculative attacks, even under perfect capital mobility.
Received: May 17, 1999; revised version: June 2, 1999 相似文献