This paper investigates the existence of unique equilibrium in two-good economies where agents have preferences with the same relative risk aversion and different utility weights. Aggregate demand behavior is characterized in terms of both macrolevel and micro-level information inherent in the...

In this study, we investigate the stability of the set of equilibria under non-tatonnement processes formulated by Smale, and show that under a natural assumption named ``following a continuous flow'', every nonextendable non-tatonnement process converges to some point in the set of equilibria....

We introduce differential information in the asset market model studied by Cheng (1991), Dana and Le Van and Le Van and Truong Xuan (2001). We prove an equilibrium existence result assuming that the economy's information structure satisfies the conditional independence property. If private...

In this paper we study the existence of bubbles for pricing equilibria in a pure Exchange Economy a la Lucas, with infinitely lived homogeneous agents. The model is analyzed under fairly general assumptions: no restrictions either on the stochastic process governing dividends' distribution or on...

Markowitz and Sharpe won the Nobel Prize in Economics for the development of Mean-Variance (M-V) analysis and the Capital Asset Pricing Model (CAPM). Kahneman won the Nobel Prize in Economics for the development of Prospect Theory. In deriving the CAPM, Sharpe, Lintner and Mossin assume expected...

We develop a technique for analyzing the response dynamics of economic variables to structural shocks in linear rational expectations models. Our work differs from standard SVARs since we allow expectations of future variables to enter structural equations. We show how to estimate the...

We study the design of mechanisms that implement Lindahl or Walrasian allocations and whose Nash equilibria are dynamically stable for a wide class of adaptive dynamics. We argue that supermodularity is not a desirable stability criterion in this mechanism design context, focusing instead on...

We prove the non-emptiness of the core of an NTU game satisfying a condition of payoff-dependent balancedness, based on transfer rate mappings. We also define a new equilibrium condition on transfer rates and we prove the existence of core payoff vectors satisfying this condition. The additional...

A large class of stochastic OLG economies with nonclassical production is shown to possess a unique Markov Equilibrium (ME) which is also the unique sequential equilibrium. Additional properties such as monotonicity, continuity, and smoothness of the ME are also discussed.

In the presence of events that are seen as ambiguous by all agents in an economy, if preferences are representable by expected uncertain utility functions (Gul and Pesendorfer, 2014), general equilibrium does not typically exist.