On the equilibrium price set of an exchange economy

1977 ◽  
Vol 4 (2) ◽  
pp. 117-126 ◽  
Author(s):  
Andreu Mas-Colell
Keyword(s):  
Exchange Economy ◽  
Equilibrium Price

scholarly journals Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets

2009 ◽  
Vol 99 (4) ◽  
pp. 1119-1144 ◽  
Author(s):  
Francis A Longstaff
Keyword(s):  
Asset Pricing ◽  
Heterogeneous Agents ◽  
Exchange Economy ◽  
Equilibrium Price ◽  
The Other ◽  
Dramatic Effect ◽  
Blackout Period ◽  
Illiquid Assets

Many classes of assets are illiquid or nonmarketable in that they cannot always be traded immediately. Thus, a portfolio position in these becomes at least temporarily irreversible. We study the asset-pricing implications of this type of illiquidity in an exchange economy with heterogeneous agents. In this market, one asset is always liquid. The other asset can be traded initially, but then not again until after a “blackout” period. Illiquidity has a dramatic effect. Agents abandon diversification and choose polarized portfolios instead. The value of liquidity can represent a large portion of the equilibrium price of an asset. (JEL G11, G12)

scholarly journals An Experimental Comparison of Two Exchange Economies: Long-Lived Asset vs. Short-Lived Asset

2021 ◽  
Author(s):  
Enrica Carbone ◽  
John Hey ◽  
Tibor Neugebauer
Keyword(s):  
Decision Analysis ◽  
Experimental Tests ◽  
Exchange Economy ◽  
Equilibrium Price ◽  
Consumption Smoothing ◽  
Alternative Solution ◽  
Experimental Comparison ◽  
Exchange Economies ◽  
Tree Model ◽  
One Step

The Lucas tree model [Lucas RE Jr (1978) Asset prices in an exchange economy. Econometrica 46(6):1429–1445.] lies at the heart of modern macrofinance. At its core, it provides an analysis of the equilibrium price of a long-lived asset in an exchange economy where consumption is the objective and the sole purpose of the asset is to smooth consumption through time. Experimental tests of the model use a particular instantiation of the Lucas model. Here we adopt a different instantiation to the first two, extending their analyses from a two-period oscillating world to a three-period cyclical world; this is partly to test the robustness of their results. We also go one step further and compare this solution (to a consumption-smoothing problem), in which consumption claims are traded via the long-lived asset, with the alternative solution provided by a market, in which agents can directly trade (short-lived) consumption claims between periods. We find that the latter exchange economy is more efficient in encouraging consumption smoothing than the economy with the long-lived asset. We find evidence of uncompetitive trading in both markets. This paper was accepted by Yan Chen, decision analysis.

Pricing Two Heterogeneous Trees

2011 ◽  
Vol 46 (5) ◽  
pp. 1437-1462 ◽  
Author(s):  
Nicole Branger ◽  
Christian Schlag ◽  
Lue Wu
Keyword(s):  
Growth Rate ◽  
Risk Aversion ◽  
Information Structure ◽  
Exchange Economy ◽  
Equilibrium Price ◽  
Expected Returns ◽  
Risk Averse ◽  
Relative Risk Aversion ◽  
Rate Process ◽  
Current Value

AbstractWe consider a Lucas-type exchange economy with two heterogeneous stocks (trees) and a representative investor with constant relative risk aversion. The dividend process for one stock follows a geometric Brownian motion with constant and known parameters. The expected dividend growth rate for the other tree is stochastic and in general unobservable, although there may be a signal from which the investor can learn about its current value. We find that the equilibrium quantities in our model significantly depend on the information structure and on the level of risk aversion. While an observable stochastic drift mainly makes the economy more risky, a latent expected growth rate process with learning significantly changes the equilibrium price-dividend ratios, price reactions to dividend and drift innovations, expected returns, volatilities, correlations, and differences between the stocks. These effects are the more pronounced the more risk averse the representative investor.

Assessment criteria for aggregate social welfare

2020 ◽  
Vol 19 (12) ◽  
pp. 2358-2371
Author(s):  
S.A. Moskal'onov
Keyword(s):  
Social Welfare ◽  
Mathematical Analysis ◽  
Exchange Economy ◽  
Assessment Criteria ◽  
Impossibility Theorem ◽  
New Approaches ◽  
History Of Development ◽  
Arrow's Impossibility Theorem ◽  
History Of

Subject. The article addresses the history of development and provides the criticism of existing criteria for aggregate social welfare (on the simple exchange economy (the Edgeworth box) case). Objectives. The purpose is to develop a unique classification of criteria to assess the aggregate social welfare. Methods. The study draws on methods of logical and mathematical analysis. Results. The paper considers strong, strict and weak versions of the Pareto, Kaldor, Hicks, Scitovsky, and Samuelson criteria, introduces the notion of equivalence and constructs orderings by Pareto, Kaldor, Hicks, Scitovsky, and Samuelson. The Pareto and Samuelson's criteria are transitive, however, not complete. The Kaldor, Hicks, Scitovsky citeria are not transitive in the general case. Conclusions. The lack of an ideal social welfare criterion is the consequence of the Arrow’s Impossibility Theorem, and of the group of impossibility theorems in economics. It is necessary to develop new approaches to the assessment of aggregate welfare.

scholarly journals Fairness and fuzzy coalitions

2021 ◽  
Author(s):  
Chiara Donnini ◽  
Marialaura Pesce
Keyword(s):  
New York ◽  
Economic Theory ◽  
Measure Space ◽  
Exchange Economy ◽  
Mathematical Methods ◽  
Competitive Equilibria ◽  
Fuzzy Coalitions ◽  
Core Allocations

AbstractIn this paper, we study the problem of a fair redistribution of resources among agents in an exchange economy á la Shitovitz (Econometrica 41:467–501, 1973), with agents’ measure space having both atoms and an atomless sector. We proceed by following the idea of Aubin (Mathematical methods of game economic theory. North-Holland, Amsterdam, New York, Oxford, 1979) to allow for partial participation of individuals in coalitions, that induces an enlargement of the set of ordinary coalitions to the so-called fuzzy or generalized coalitions. We propose a notion of fairness which, besides efficiency, imposes absence of envy towards fuzzy coalitions, and which fully characterizes competitive equilibria and Aubin-core allocations.

An equilibrium price model of spot and forward shipping freight markets

2012 ◽  
Vol 48 (4) ◽  
pp. 730-742 ◽  
Author(s):  
Koichiro Tezuka ◽  
Masahiro Ishii ◽  
Motokazu Ishizaka
Keyword(s):  
Equilibrium Price ◽  
Price Model
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