Incentive problems make securities’ payoffs imperfectly pledgeable, limiting agents’ ability to issue liabilities. We analyze the equilibrium consequences of such endogenous incompleteness in a dynamic exchange economy. Because markets are endogenously incomplete, agents have different intertemporal marginal rates substitution, so that they value assets differently. Consequently, hold portfolio...

We show the existence of a Cournot-Nash equilibrium in pure strategies with trade in a model of noncooperative exchange with some large traders and many small traders in which traders are allowed to buy and sell each commodity. Moreover, we show, by an example, that, even with identical large traders of equal measure, our model yields Cournot-Nash equilibrium allocations which are not Walrasian...

We consider economies with many agents and compare the competitive equilibria and the value allocations of the resultingcoalitional games. In particular, we provide a (smooth and robust) example where the “value principle” does not hold for the HarsanyiNTU-value: there is a unique competitive equilibrium,which however does notbelong tothe (nonempty) set of Harsanyi value allocations. Journal of...

This paper provides a general overview of the literature on the core of an exchange economy with asymmetric information. Incentive compatibility is emphasized in studying core concepts at the ex ante and interim stage. The analysis includes issues of non-emptiness of the core as well as core convergence to price equilibrium allocations. © 2002 Elsevier Science B.V. All rights reserved. JEL clas...

With the exception of existence, not much seems to be known of economies where individual preferences are affected by prices. We show that the main properties of competitive equilibria that fall under the general heading of qualitative comparative statics remain true when preferences are price dependent, provided that the total resources are allowed to vary in the parameter space. The equilibri...

We analyze the value of public information in a competitive endowment economy. We provide a global result that an early release of information about the future state of the economy is desired by all agents, or Pareto improving, if agents disagree about the prospect of the economy and asset markets are complete. We further prove that for certain levels of agents’ disagreement, all agents prefer ...

The set of competitive allocations in an exchange economy with indivisible goods of Shapley and Scarf (1974) is an important solution concept in the literature. In this paper, we consider a farsighted version of the von Neumann and Morgenstern stable set by using the farsighted approach of Chwe (1994) and by modifying the domination relation defined by Wako (1999) to incorporate farsightedness....

This paper deals with the problem of incentive mechanism design in non-convex production economies when production sets and preferences both are unknown to the designer. We consider Nash-implementation of loss-free, average cost, marginal cost, voluntary trading, and quantity-taking pricing equilibrium allocations in economies involving increasing returns to scale or more general types of non-c...