Lotteries, sunspots, and incentive constraints
成果类型：
Article
署名作者：
Kehoe, TJ; Levine, DK; Prescott, EC
署名单位：
University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis; University of California System; University of California Los Angeles
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.2001.2792
发表日期：
2002
页码：
39-69
关键词：
摘要：
We study a prototypical class of exchange economics with private information and indivisibilities. We establish an equivalence between lottery equilibria and sunspot equilibria and show that the welfare and existence theorems hold. To establish these results, we introduce the concept of the stand-in consumer economy, which is a standard, convex, finite consumer, finite good, pure exchange economy. With decreasing absolute risk aversion and no indivisibilities, we prove that no lotteries are actually used in equilibrium. We provide a simple numerical example with increasing absolute risk aversion in which lotteries are necessarily used in equilibrium. We also show how the equilibrium allocation in this example can be implemented in a sunspot equilibrium. (C) 2002 Elsevier Science (USA).