Catálogo de publicaciones - libros

Fifty years ago Arrow [] introduced contingent commodities and Debreu [] observed that this reinterpretation of a commodity was enough to apply the existing general equilibrium theory to uncertainty and time. This interpretation of general equilibrium theory is the Arrow-Debreu model. The complete market predicted by this theory is clearly unrealistic, and Radner [] formulated and proved existence of equilibrium in a multiperiod model with incomplete markets.

In this paper the Radner result is extended. Radner assumed a specific structure of markets, independence of preferences, indifference of preferences, and total and transitive preferences. All of these assumptions are dropped here. We — like Radner — keep assumptions implying compactness.

Incomplete asset markets cause competitive equilibria to be constrained suboptimal and provides scope for Pareto improving interventions. In this paper, we examine how intervention in prices in asset or spot commodity markets serves this purpose. We show that, if fix-price equilibria behave sufficiently regularly near Walrasian equilibria, Pareto improving price regulation is generically possible. An advantage of price regulation, contrasted with interventions in individuals’ asset portfolios, is that it operates anonymously, on market variables.

An index of “behavioral heterogeneity” for every finite population of households is defined. It is shown that the higher the index of behavioral heterogeneity the less sensitive depends the aggregate consumption expenditure ratio upon prices. As a consequence, a high index implies a tendency for the Jacobian of aggregate demand to have a dominant negative diagonal.

Local convergence results for adaptive learning of stochastic steady states in nonlinear models are extended to the case where the exogenous observable variables follow a finite Markov chain. The stability conditions for the corresponding nonstochastic model and its steady states yield convergence for the stochastic model when shocks are sufficiently small. The results are applied to asset pricing and to an overlapping generations model. Large shocks can destabilize learning even if the steady state is stable with small shocks. Relationship to stationary sunspot equilibria are also discussed.

We formulate an evolutionary learning process with trembles for static games of incomplete information. For many games, if the amount of trembling is small, play will be in accordance with the games’ (strict) Bayesian equilibria most of the time supporting the notion of Bayesian equilibrium. Often the process will select a specific equilibrium. For two specific games of economic interest we characterize this selection. The first is an extension to incomplete information of the prototype strategic conflict known as “Chicken”. The second is an incomplete information bilateral monopoly, which is also an extension to incomplete information of Nash’s demand game, or a simple version of the so-called sealed bid double auction. The examples reveal that equilibrium selection by evolutionary learning may well be in favor of Bayesian equilibria where some types of players fail to coordinate, so that the equilibrium outcomes are inefficient.

In this paper we consider a model of group formation where group of individuals may have different feasible sets. We focus on two polar cases, , when the set of feasible alternatives increases if a new member joins the group, and , when a new member has an opposite effect and reduces the number of alternatives available for the enlarged group. We consider two notions, and of group structures, that correspond to Nash and Strong Nash equilibrium of the associated non-cooperative game. We prove existence results for various classes of environments and also investigate the link between dimensionality of feasible sets and the existence of stable structures.

This paper defines decreasing absolute risk aversion in purely behavioral terms without any assumption of differentiability and shows that a strictly increasing and risk averse utility function with decreasing absolute risk aversion is necessarily differentiable with an absolutely continuous derivative. A risk averse utility function has decreasing absolute risk aversion if and only if it has a decreasing absolute risk aversion density, and if and only if the cumulative absolute risk aversion function is increasing and concave. This leads to a characterization of all such utility functions. Analogues of these results also hold for increasing absolute and for increasing and decreasing relative risk aversion.

Many suppose that democracy is an ethos which requires, inter alia, a degree of economic equality among citizens. In contrast, we conceive of democracy as ruthless electoral competition between groups of citizens with different interests, who are organized into parties. We inquire whether such competition, which we assume to be concerned with distributive matters, will engender economic equality in the long run. Society is modeled as OLG, and each generation competes politically over educational finance and tax policy; the policy space is infinite dimensional. A political equilibrium concept is proposed which determines the membership of two parties endogenously, and their proposed policies in political competition. One party wins the election (stochastically). This process determines the evolution of the distribution of human capital. We show that, whether the limit distribution of human capital is an equal one depends upon the nature of intra-party bargaining and the degree of inequality in the original distribution.

A premise of general equilibrium theory is that private goods are rival. Nevertheless, many private goods are shared, e.g., through borrowing, through co-ownership, or simply because one person’s consumption affects another person’s wellbeing. I analyze consumption externalities from the perspective of club theory, and argue that, provided consumption externalities are limited in scope, they can be internalized through membership fees to groups. Two important applications are to rental markets and “purchase clubs,” in which members share the goods that they have individually purchased.

Core equivalence and shrinking of the core results are well known for economies. The present paper establishes counterparts for bargaining economies, a specific class of production economies (finite and infinite) representing standard two-person bargaining games and their continuum counterparts as coalition production economies. Thereby we get core equivalence of the Nash solution. The results reconfirm the Walrasian approach to Nash bargaining of Trockel (1996). Moreover we establish the same speed of convergence as is known from Debreu (1975) and Grodal (1975) for replicated pure exchange economies and for regular purely competitive sequences of economies, respectively.