Existence and structure of stochastic equilibria with intertemporal substitution

Peter Bank and Frank Riedel

No 2000,104, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

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.

Keywords: General Equilibrium; Local Substitution; Non Time Additive Utility (search for similar items in EconPapers)
JEL-codes: D51 D91 (search for similar items in EconPapers)
Date: 2000
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Journal Article: Existence and structure of stochastic equilibria with intertemporal substitution (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:2000104

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