With the exception of existence, not much is known of economies where individual preferences may depend on 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 equilibrium set is a...

In an exchange economy under uncertainty with two periods, one physical good, and finitely many states of the world, we show that for every (complete or incomplete) market span there exists a sequence of securities such that if they are introduced into markets one by one, the prices of any security is not affected by the subsequent introduction of newer securities and they together generate the...

This paper introduces a new class of matrix-valued affine jump diffusions that are convenient for modeling multivariate risk factors in many financial and econometric problems. We provide an analytical transform analysis for this class of models, leading to an analytical treatment of a broad class of multivariate valuation and econometric problems. Examples of potential applications include fix...

In a continuous-time economy with complete markets, we show how the heterogeneity in the individual consumers’ risk attitudes and impatience would affect the representative consumer’s counterparts. Specifically, our formulas tell us how his risk tolerance and impatience will change over time, and how his impatience will be affected by the changes in aggregate consumption levels. Under the assum...

This paper shows that, in markets with transaction costs, even if a redundant security does not even save individual investors’ total costs for their security trading, the prices of the other securities may well be different were it to not be available for trade, resulting in a different equilibrium consumption allocation. In this sense, a redundant security may give rise to the divergence of i...

We analyze the pricing of a productive asset in a class of dynamic exchange economies with heterogeneous, infinitely–lived agents, and self–enforcing intertemporal trades. Individual incomes fluctuate and are correlated; preferences, dividends and aggregate income are fixed. Almost all economies in this class have a unique stationary Markovian equilibrium with fluctuations in asset prices. As t...

We provide a characterization of selection correspondences in two-person exchange economies that can be core rationalized in the sense that there exists a preference profile with some standard properties that generates the observed choices as the set of core elements of the economy for any given initial endowment vector. The approach followed in this paper deviates from the standard rational ch...

We extend the classical results on the Walras-core existence and equivalence to an ambiguous asymmetric information economies, i.e., economies where agents maximize Maximin Expected Utility (MEU). The interest of considering ambiguity arises from the fact that, in the presence of MEU decision making, there is no conflict between efficiency and incentive compatibility, (contrary to the Bayesian ...

In a small open economy with heterogeneous firms, in which tariffs determine the mass of active firms, free trade optimality depends positively on the level of firm heterogeneity and negatively on transportation/adoption costs. The benefits from temporary protection depend on the level of backwardness: for a given mass of backward firms, the relative gains from protection increase with their qu...

The paper studies equilibria for economies with imperfect competition and non-convex technologies. Following Negishi, firms maximise profits under downward-sloping perceived demand functions. Negishi’s assumptions, in particular the assumption of a single monopolistic competitor in each market, are relaxed. Existence of equilibria is obtained, under otherwise standard assumptions, for productio...