Money provides liquidity services through a cash-in-advance constraint. The exchange of commodities and assets extends over an infinite horizon under uncertainty and a sequentially complete asset market. Monetary policy sets the path of rates of interest and accommodates the demand for balances....

The effects of endogenous undiversifiable investment and market structure changes on security pricing are analyzed within the GEI-CAPM (General Equilibrium with Incomplete Markets Capital Asset Pricing Model). Both the mutual fund and security market line theorems are extended conditional to a...

We consider a pure exchange economy with private ownership in which consumers have interdependent preferences. Hence, consumers’ preferences are defined on the states of the economy. In a Walras equilibrium for such an economy, it may, of course, be possible for two or more consumers to...

In order to model the concept of behavioral heterogeneity, some authors have employed the following approach. By using affine transformations of the price space, a consumption sector is defined as the set of all transformed demand functions of a given "generating" demand function. This leads to...

The general concepts final settlement and competition defined by F. Edgeworth (1881) are redefined in a modern setting. The special application--exchange equilibrium--is compared to the later concept of the core. The history of exchange equilibrium is surveyed.

There is abundant evidence that many individuals violate the rationality assumptions routinely made in economics. However, powerful evidence also indicates that violations of individual rationality do not necessarily refute the aggregate predictions of standard economic models that assume full...

We consider a general equilibrium model where households operating in a competitive market environment can have several members and make efficient collective consumption decisions. Individuals have the option to leave the household and make it on their own or join another household. We study the...

For market games which feature multiple posts for each commodity we show the following: (i) the 'law of one price' obtains asymptotically as the number of market participants becomes infinite, irrespectively of the characteristics of market participants; (ii) as the number of markets increases...

We test whether large but purely nominal shocks affect real asset market prices. We subject a laboratory asset market to an exogenous shock, which either inflates or deflates the nominal fundamental value of the asset, while holding the real fundamental value constant. After an inflationary...

The cointegrated VAR model is proposed as an empirically coherent framework for analyzing macroeconomic phenomena within a dynamic system of pulling and pushing forces. As an illustration we show how an economic theory for inflation and money demand gives rise to a number of hypotheses...