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Stochastic equilibria for economies under uncertainty with intertemporal substitution

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Date
2006
Dewey
Analyse
Sujet
Stochastic pure exchange economies; Intertemporal substitutability of consumption; Arrow–Debreu equilibrium; Local properness; Optional random measures
JEL code
D.D5.D51; D.D9.D91
Journal issue
Annals of Finance
Volume
2
Number
1
Publication date
01-2006
Article pages
101-122
Publisher
Springer
DOI
http://dx.doi.org/10.1007/s10436-005-0025-8
URI
https://basepub.dauphine.fr/handle/123456789/20251
Collections
  • CEREMADE : Publications
Metadata
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Author
Martins-da-Rocha, Victor-Filipe
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Riedel, Frank
Type
Article accepté pour publication ou publié
Abstract (EN)
We consider the model of a stochastic pure exchange economy with a finite set of agents whose preferences exhibit local substitution in the sense of Hindy and Huang (1992). In order to prove the existence of Arrow–Debreu equilibria, it is assumed in Bank and Riedel (2001) that smooth subgradients exist (Assumption 1 in Bank and Riedel (2001)) and that they are uniformly bounded from above and away from zero (Assumption 2 in Bank and Riedel 2001).In this paper, we prove that the existence of smooth subgradients implies local properness of preferences. By a slight improvement of classical existence results of the literature, we prove that the local properness of preferences is a sufficient condition for the existence of equilibria, rendering Assumption 2 in Bank and Riedel (2001) superfluous.

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