Equilibria Under Knightian Price Uncertainty

Beissner P, Riedel F (2019)
ECONOMETRICA 87(1): 37-64.

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Zeitschriftenaufsatz | Veröffentlicht | Englisch
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Abstract / Bemerkung
We study economies with Knightian uncertainty about state prices. We introduce an equilibrium concept with sublinear prices and prove that equilibria exist under weak conditions. In general, such equilibria lead to inefficient allocations; they coincide with Arrow-Debreu equilibria if and only if the values of net trades are ambiguity-free in mean. In economies without aggregate uncertainty, inefficiencies are generic. Equilibrium allocations under price uncertainty are efficient in a constrained sense that we call uncertainty-neutral efficient. Arrow-Debreu equilibria turn out to be non-robust with respect to the introduction of Knightian uncertainty.
Erscheinungsjahr
Zeitschriftentitel
ECONOMETRICA
Band
87
Ausgabe
1
Seite(n)
37-64
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Beissner P, Riedel F. Equilibria Under Knightian Price Uncertainty. ECONOMETRICA. 2019;87(1):37-64.
Beissner, P., & Riedel, F. (2019). Equilibria Under Knightian Price Uncertainty. ECONOMETRICA, 87(1), 37-64. doi:10.3982/ECTA14934
Beissner, P., and Riedel, F. (2019). Equilibria Under Knightian Price Uncertainty. ECONOMETRICA 87, 37-64.
Beissner, P., & Riedel, F., 2019. Equilibria Under Knightian Price Uncertainty. ECONOMETRICA, 87(1), p 37-64.
P. Beissner and F. Riedel, “Equilibria Under Knightian Price Uncertainty”, ECONOMETRICA, vol. 87, 2019, pp. 37-64.
Beissner, P., Riedel, F.: Equilibria Under Knightian Price Uncertainty. ECONOMETRICA. 87, 37-64 (2019).
Beissner, Patrick, and Riedel, Frank. “Equilibria Under Knightian Price Uncertainty”. ECONOMETRICA 87.1 (2019): 37-64.