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Existence and structure of stochastic equilibria with intertemporal substitution

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  • Bank, Peter
  • Riedel, Frank
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    Abstract

    We prove existence of an Arrow-Debreu equilibrium when agents' preferences exhibit local substitution in the sense of Hindy, Huang, and Kreps (1992). Efficient allocations and supporting price functionals are identified and characterized. Under Hindy Huang Kreps preferences, equilibrium price processes are semimartingales for arbitrary endowments, but in general, they do not belong to the space suggested originally by Hindy and Huang (1992) due to an additional singular local time component. --

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    Bibliographic Info

    Paper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 2000,104.

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    Date of creation: 2000
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    Handle: RePEc:zbw:sfb373:2000104

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    Keywords: General Equilibrium; Local Substitution; Non Time Additive Utility;

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