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Existence of a General Equilibrium with Price Uncertainty

Chichilnisky, Graciela

The paper defines a concept of a general equilibrium in markets with uncertainty about prices, and proves the existence of such equilibrium under standard conditions on endowments and preferences. In the market equilibrium defined here the state space which represents price uncertainty is endogenous to the economy. Agents do not know the possible equilibrium prices a priori. Theorem 2 establishes the existence of equilibrium, consisting of a state space, the corresponding asset markets, and prices yielding a fully insured and Pareto efficient allocation which clears all markets.

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Academic Units
Economics
Publisher
Department of Economics, Columbia University
Series
Department of Economics Discussion Papers, 651
Published Here
February 17, 2011

Notes

September 1992.