We analyse a single sector economy with H > 1 infinitely-lived agents that operate in a continuous-time framework. Utility functions are recursive but not additive. Both efficient and perfect foresight competitive equilibrium allocations are considered. The existence and stability of such allocations are investigated locally, i.e., in a neighbourhood of steady-state allocations. The model is sh...

The OLG model of Allais and Samuelson retains the methodological assumptions of agent optimization and market clearing from the Arrow–Debreu model, yet its equilibrium set has different properties: Pareto inefficiency, multiplicity, positive valuation of money, and a golden rule equilibrium in which the rate of interest is equal to population growth (independent of impatience). These properties...

The objective of this work in progress is to endogenise the firm sector in the classic Diamond Dybvig setup. This should better able us to understand how shocks are transmitted within sectors. 1 The basic setup and the players • Consider an economy with three periods, t = 0, 1, 2. • There exists a single divisible consumption good in each period. • There are three types of agents: depositors, f...

Although marginal cost pricing is necessary for welfare maximization, firms that produce under conditions of decreasing average cost incur losses if they price at marginal cost. In this paper, the Coase two-part tariN is extended to several cases of common costs by assessing surplus in order to recover the losses of the regulated natural monopolist; the existence of equilibria in these cases is...

We study a general equilibrium model with endogenous human capital formation in which ex ante identical groups may be treated asymmetrically in equilibrium. The interaction between an informational externality and general equilibrium effects creates incentives for groups to specialize. Discrimination may arise even if the corresponding model with a single group has a unique equilibrium. The dom...

We present a consistent pure-exchange general equilibrium model where agents may not be able to foresee all possible future contingencies. In this context, even with nominal assets and complete asset markets, an equilibrium may not exist without appropriate assumptions. Speci ̄c examples are provided. An existence result is proved under the main assumption that there are su±ciently many states t...

This paper studies the implications of model uncertainty under stochastic volatility model for equilibrium asset pricing. We derive the equilibrium equity premium and risk-free rate in a pureexchange economy with one representative agent who is averse not only to risk but also to model uncertainty. The results show that robustness increases the equilibrium equity premium while lowers the risk-f...