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9,714
General Equilibrium Theory for Economy with Asymmetric Information: Basic Model
, 2005
"... In this Paper, a general equilibrium model under asymmetric information is constructed as a natural extension of the standard ArrowDebreu general equilibrium model having “fictitious” technologies. ..."
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In this Paper, a general equilibrium model under asymmetric information is constructed as a natural extension of the standard ArrowDebreu general equilibrium model having “fictitious” technologies.
Existence of ArrowDebreu Equilibrium with Generalized Stochastic Differential Utility
, 2011
"... This paper establishes, in the setting of Brownian information, a general equilibrium existence result under a stochastic differential formulation of intertemporal recursive utility. The present class of utility functionals is generated by a backward stochastic differential equation and incorporate ..."
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This paper establishes, in the setting of Brownian information, a general equilibrium existence result under a stochastic differential formulation of intertemporal recursive utility. The present class of utility functionals is generated by a backward stochastic differential equation
Ranking via ArrowDebreu Equilibrium
, 2009
"... In this paper, we establish a connection between ranking theory and general equilibrium theory. First of all, we show that the ranking vector of PageRank or Invariant method is precisely the equilibrium of a special CobbDouglas market. This gives a natural economic interpretation for the PageRank o ..."
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In this paper, we establish a connection between ranking theory and general equilibrium theory. First of all, we show that the ranking vector of PageRank or Invariant method is precisely the equilibrium of a special CobbDouglas market. This gives a natural economic interpretation for the Page
Why Is There Money? Endogenous Derivation of 'Money' as the Most Liquid Asset: A Class of Examples
 IN ASSETS, BELIEFS, AND EQUILIBRIA IN ECONOMIC DYNAMICS
, 2001
"... The monetary character of trade, the existence of a common medium of exchange, is derived as an outcome of the economic general equilibrium in a class of examples. Two constructs are added to an ArrowDebreu general equilibrium model: market segmentation with multiple budget constraints (one at each ..."
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Cited by 15 (7 self)
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The monetary character of trade, the existence of a common medium of exchange, is derived as an outcome of the economic general equilibrium in a class of examples. Two constructs are added to an ArrowDebreu general equilibrium model: market segmentation with multiple budget constraints (one
DSGE AND BEYOND  COMPUTABLE AND CONSTRUCTIVE CHALLENGES
, 2011
"... The genesis and the path towards what has come to be called the DSGE model is traced, from its origins in the ArrowDebreu General Equilibrium model (ADGE), via Scarf’s Computable General Equilibrium model (CGE) and its applied version as Applied Computable General Equilibrium model (ACGE), to its ..."
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Cited by 1 (0 self)
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The genesis and the path towards what has come to be called the DSGE model is traced, from its origins in the ArrowDebreu General Equilibrium model (ADGE), via Scarf’s Computable General Equilibrium model (CGE) and its applied version as Applied Computable General Equilibrium model (ACGE), to its
Competitive Equilibrium with Search Frictions: ArrowDebreu meets DiamondMortensenPisarides

, 2010
"... When the trading process is characterized by search frictions, traders may be rationed so markets need not clear. We argue that rationing can be part of general equilibrium, even if it is outside its normal interpretation. We build a general equilibrium model where the uncertainty arising from ratio ..."
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Cited by 2 (0 self)
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rationing is incorporated in the definition of a commodity, in the spirit of the ArrowDebreu theory. Prices of commodities then depend not only on their physical characteristics, but also on the probability that their trade is rationed. The standard definition of a competitive equilibrium is extended
The Equity Premium: A Puzzle
 Journal of Monetary Economics
, 1985
"... Restrictions that a class of general equilibrium models place upon the average returns of equity and Treasury bills are found to be strongly violated by the U.S. data in the 18891978 period. This result is robust to model specification and measurement problems. We conclude that, most likely, an equ ..."
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Cited by 1751 (40 self)
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, an equilibrium model which is not an ArrowDebreu economy will be the one that Simultaneously rationalizes both historically observed large average equity return and the small average riskfree return. 1.
Implementing ArrowDebreu Equilibria by Continuous Trading of Few LongLived Securities
 Econometrica
, 1986
"... Equilibrium model of an dynamic economy extending over an in nite sequence of dates plays an important role in modern economic theory. The basic equilibrium concept in such model is the ArrowDebreu (or Walrasian) competitive equilibrium. In an ArrowDebreu equilibrium it is assumed that agents can ..."
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Cited by 105 (9 self)
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Equilibrium model of an dynamic economy extending over an in nite sequence of dates plays an important role in modern economic theory. The basic equilibrium concept in such model is the ArrowDebreu (or Walrasian) competitive equilibrium. In an ArrowDebreu equilibrium it is assumed that agents can
Arrow Debreu Prices
"... Arrow Debreu prices are the prices of 'atomic' time and state contingent claims which deliver one unit of a specific consumption good if a specific uncertain state realizes at a specific future date. For instance, claims on the good 'ice cream tomorrow' are split into different ..."
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contingent claims on goods. Thereby the general equilibrium problem with uncertainly can be reduced to a conventional one without uncertainty. In finite state financial models, ArrowDebreu securities delivering one unit of the numeraire good can be viewed as natural atomic building blocks for all other
Optimal contracts and competitive markets with costly state verification
 Journal of Economic Theory
, 1979
"... The insight of Arrow [4] and Debreu [7] that uncertainty is easily incorporated into general equilibrium models is doubleedged. It is true that one need only index commodities by the state of nature, and classical results on the existence and optimality of competitive equilibria can be made to ..."
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Cited by 879 (8 self)
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The insight of Arrow [4] and Debreu [7] that uncertainty is easily incorporated into general equilibrium models is doubleedged. It is true that one need only index commodities by the state of nature, and classical results on the existence and optimality of competitive equilibria can be made to
Results 1  10
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9,714