Existence of Walrasian equilibria with discontinuous, non-ordered, interdependent and price-dependent preferences

He, Wei; Yannelis, Nicholas C.

doi:10.1007/s00199-015-0875-x

Cited by 45 publications

(39 citation statements)

References 30 publications

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“…Note that if there is at least one agent of Type B that has a nonlinear utility function, we cannot apply the standard techniques of existence of equilibrium, which include Shafer () and He and Yannelis ().…”

Section: Equilibrium With Non‐convex Agents: General Casementioning

confidence: 99%

General Equilibrium With Uncertainty Loving Preferences

Araújo¹,

Chateauneuf²,

Gama³

et al. 2018

Econometrica

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More and more economists are finding both empirical and experimental evidence of economic behavior that is well beyond classical economics. In particular, empirical evidence ( Jullien and Salanié ()) and experimental evidence ( Kahneman and Tversky ()) supported the importance of risk loving, ambiguity loving, and related behavior in economics. However, these types of preferences have not been analyzed in the general equilibrium literature with a finite number of agents because non‐convexity of preferences creates difficulty in proving existence of equilibrium. The main result in this paper provides a set of conditions under which equilibrium exists in such economies. We show that uncertainty of aggregate wealth, as well as some dominance of the endowment of the risk averters in the economy, play a role in the existence of Arrow–Debreu equilibria. This result can be extended to ambiguity in the sense of CEU, Smooth Ambiguity, and Variational Preference.

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Section: Equilibrium With Non‐convex Agents: General Casementioning

confidence: 99%

General Equilibrium With Uncertainty Loving Preferences

Araújo¹,

Chateauneuf²,

Gama³

et al. 2018

Econometrica

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“…Suppose that g admits a stochastic macro structure (C, μ). By Theorem 1 in Hammond and Sun (2016) (stated as Lemma 1 in Sect. 6.1 below), there exists a one-way Fubini extension (I × Ω, W, Q) such that the process g is W-measurable.…”

Section: Properties Of Monte Carlo Sampling Processesmentioning

confidence: 96%

“…In this subsection, we first define iteratively complete products as in Hammond and Sun (2006b). Then, for the convenience of the reader, we state as lemmas two results from Hammond and Sun (2016) that are used in this paper.…”

Section: Some Technical Backgroundmentioning

confidence: 99%

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Monte Carlo sampling processes and incentive compatible allocations in large economies

2020

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Monte Carlo simulation is used in Hammond and Sun (Econ Theory 36:303–325, 2008. 10.1007/s00199-007-0279-7) to characterize a standard stochastic framework involving a continuum of random variables that are conditionally independent given macro shocks. This paper presents some general properties of such Monte Carlo sampling processes, including their one-way Fubini extension and regular conditional independence. In addition to the almost sure convergence of Monte Carlo simulation considered in Hammond and Sun (2008), here we also consider norm convergence when the random variables are square integrable. This leads to a necessary and sufficient condition for the classical law of large numbers to hold in a general Hilbert space. Applying this analysis to large economies with asymmetric information shows that the conflict between incentive compatibility and Pareto efficiency is resolved asymptotically for almost all sampling economies, following some similar results in McLean and Postlewaite (Econometrica 70:2421–2453, 2002) and Sun and Yannelis (J Econ Theory 134:175–194, 2007. 10.1016/j.jet.2006.03.001).

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“…2 See del Mercato (2006b) and Bonnisseau and del Mercato (2010) which prove the existence of equilibrium in models where externalities also imply consumption constraints, Balasko (2015) for a differentiable approach to the existence problem, He and Yannelis (2016) for existence results without continuity of preferences, and for welfare analysis see Borglin (1973) and Dufwenberg et al (2011) and the references they include.…”

Section: Introductionmentioning

confidence: 99%

Social loss with respect to the core of an economy with externalities

2020

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We consider a pure exchange economy with externalities. We adopt a cooperative approach to equilibrium analysis, allowing each individual to cooperate with others and to form coalitions. Individual preferences are affected by the consumption of all other agents in the economy, and the consumption set of each agent is affected by the coalition to which he/she belongs. Following Montesano (2002), we introduce a measure of social loss with respect to the γ-core and α-core of the economy which completely characterizes the corresponding core allocations.

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Existence of Walrasian equilibria with discontinuous, non-ordered, interdependent and price-dependent preferences

Cited by 45 publications

References 30 publications

General Equilibrium With Uncertainty Loving Preferences

General Equilibrium With Uncertainty Loving Preferences

Monte Carlo sampling processes and incentive compatible allocations in large economies

Social loss with respect to the core of an economy with externalities

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