Equilibrium models with heterogeneous agents and aggregate uncertainty are difficult to analyze since policy functions and market prices depend on the cross-sectional distribution over agents' state variables which is generally a high-dimensional object. This paper develops and applies a general...

This paper characterizes equilibrium properties of a broad class of economic models that al-low multiple heterogeneous agents to interact in heterogeneous manners across several markets. Our key contribution is a new theorem providing sufficient conditions for uniqueness and stability of...

We develop a model that combines competitive exchange of private commodities across endogenously formed groups with public good provision and global collective decisions. There is a tension between local and global collective decisions. In particular, we show that group formation and collective...

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...

We propose a theory that jointly accounts for an asset illiquidity and for the asset price potential over-reliance on public information. We argue that, when trading frequencies differ across traders, asset prices reflect investors' Higher Order Expectations (HOEs) about the two factors that...

We incorporate a renewable resource into an overlapping generations model with standard, well-behaved utility and constant returns to scale production functions. Besides being a factor of production the resource serves as a store of value. We characterize dynamics, efficiency and stability of...

We consider competitive markets for multiple commodities with endogenous formation of one- or two-person households. Within each two-person household, externalities from the partnerś commodity consumption and unpriced actions are allowed. Each individual has two types of traits: observable...

Ever since Sjaastad (1962), researchers have struggled to quantify the psychic cost of migration. We monetize psychic cost as the wage premium for moving to a culturally different location. We combine administrative social security panel data with a proxy for cultural difference based on...

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...

We develop an equilibrium model of industrial structure in which the organization of firms is endogenous. Differentiated consumer products can be produced either by vertically integrated firms or by pairs of specialized companies. Production of each variety of consumer good requires a unique,...