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Competitive equilibrium with moral hazard in economies with multiple commodities

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  • Citanna, Alessandro
  • Villanacci, Antonio

Abstract

We study an economy with competitive commodity markets and exclusive pairwise contractual relations with moral hazard, where both the principal and the agent can be risk averse. We show existence of equilibria and their generic constrained suboptimality,

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 38 (2002)
Issue (Month): 1-2 (September)
Pages: 117-147

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Handle: RePEc:eee:mateco:v:38:y:2002:i:1-2:p:117-147

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Web page: http://www.elsevier.com/locate/jmateco

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References

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  1. Malinvaud, E, 1973. "Markets for an Exchange Economy with Individual Risks," Econometrica, Econometric Society, Econometric Society, vol. 41(3), pages 383-410, May.
  2. Helpman, Elhanan & Laffont, Jean-Jacques, 1975. "On moral hazard in general equilibrium theory," Journal of Economic Theory, Elsevier, Elsevier, vol. 10(1), pages 8-23, February.
  3. Smale, S., 1974. "Global analysis and economics IIA : Extension of a theorem of Debreu," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 1(1), pages 1-14, March.
  4. Edward C Prescott & Robert M Townsend, 2010. "Pareto Optima and Competitive Equilibria With Adverse Selection and Moral Hazard," Levine's Working Paper Archive 2069, David K. Levine.
  5. Harald Uhlig, 1996. "A law of large numbers for large economies (*)," Economic Theory, Springer, Springer, vol. 8(1), pages 41-50.
  6. Atsushi Kajii & Antonio Villanacci & Alessandro Citanna, 1998. "Constrained suboptimality in incomplete markets: a general approach and two applications," Economic Theory, Springer, Springer, vol. 11(3), pages 495-521.
  7. Allen, Beth, 1981. "Utility perturbations and the equilibrium price set," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 8(3), pages 277-307, October.
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Cited by:
  1. Calcagno, Riccardo & Wagner, Wolf, 2006. "Dispersed initial ownership and the efficiency of the stock market under moral hazard," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 42(1), pages 36-45, February.
  2. Daron Acemoglu & Alp Simsek, 2010. "Moral Hazard and Efficiency in General Equilibrium with Anonymous Trading," Levine's Working Paper Archive 661465000000000232, David K. Levine.
  3. Alberto Bisin & John Geanakoplos & Piero Gottardi & Enrico Minelli & Heracles Polemarchakis, 2009. "Markets and Contracts," Working Papers, University of Brescia, Department of Economics 0915, University of Brescia, Department of Economics.
  4. Alessandro, CITANNA & Archishman, CHAKRABORTY, 1999. "Moral Hazard, Aggregate Risk and Nominal Linear Financial Contracts," Les Cahiers de Recherche, HEC Paris 683, HEC Paris.

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