The purpose of this paper, which takes up after D. Cass (1984a, 1984b) is to find the degree of real indeterminacy inherent in models with purely financial assets. We solve the problem for the case where there are enough traders (precisely, the number of traders is larger than the number of...

Let assets be denominated in an a priori specified numeraire. Whether or not the asset is complete, a competitive equilibrium exists as long as arbitrage is possible when assets are free. Generically, the set of competitive equilibria is finite, and the equilibrium prices and allocations in the...

This paper develops a general asymptotic theory of regression for processes which are integrated of order one. The theory includes vector autoregressions and multivariate regressions amongst integrated processes that are driven by innovation sequences which allow for a wide class of weak...

The question of forecasting accuracy is, of course, one that has been the subject of numerous investigations over the last two decades. The present study contributes to this line of research in two ways. First, we introduce a new concept, called "forecast efficiency," that measures the extent to...

This paper provides an axiomatic model based on an extraneous random device generating objective probabilities for the derivation of expected utilities and subjective probabilities. Four basic axioms fully determine a real-valued utility function and a finitely additive subjective probability...

If an exchange economy is modeled as a strategic market game with one commodity serving as a money, then if there is no credit available and if all traders are insignificant in size, so that an individual does not influence prices, the noncooperative equilibria (NEs) of the game will coincide...

Since 1973 I have used several three person games in coalitional form for both teaching and experimental purposes. They have been run in primarily a normative mode. The individuals have been asked to act as judges called upon to recommend a division of assets among three players. The basic use...

The prime purpose of this article is to illustrate some basic problems in the modelling of strategic market games with a single means of exchange or with complete markets. A simple example involving three types of traders trading in three commodities serves to make the points clear.

This paper focuses on the importance of strategic complementarity in agents' payoff functions as a basis for macroeconomic coordination failures. We first analyze an abstract game and find that inefficient equilibria and a multiplier process may arise in the presence of strategic...

The intellectual breakthroughs that mark the neoclassical revolution in economic analysis occurred in Europe around 1870. The next two decades witnessed lively debates in which the new theory more or less absorbed or was absorbed in the classical tradition that preceded and provoked it. In the...