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  • Springer  (12,850)
  • 1995-1999  (12,850)
  • Economics  (12,850)
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  • Articles  (12,850)
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  • 1
    Electronic Resource
    Electronic Resource
    An experimental study of adaptive behavior in an oligopolistic market game (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 27-65 
    Details
    ISSN: 1432-1386
    Keywords: Key words: Market game ; Oligopoly ; Adaptive behavior ; Learning ; JEL-classification: C72; C91; D83
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. We consider an oligopolistic market game, in which the players are competing firms in the same market of a homogeneous consumption good. The consumer side is represented by a fixed demand function. The firms decide how much to produce of a perishable consumption good, and they decide upon a number of information signals to be sent into the population in order to attract customers. Due to the minimal information provided, the players do not have a well-specified model of their environment. Our main objective is to characterize the adaptive behavior of the players in such a situation.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050074
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  • 2
    Electronic Resource
    Electronic Resource
    Market share instability and stock price volatility during the industry life-cycle: the US automobile industry (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 67-96 
    Details
    ISSN: 1432-1386
    Keywords: Key words: Market share dynamics ; Industry life-cycle ; Stock price volatility ; JEL-classification: L11; 030; G12
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Market share instability, during certain stages of the industry life-cycle, has become a stylized fact in the industrial organization literature. In the finance literature, volatility in the form of excess volatility, i.e. the much larger volatility of stock prices than dividends (although stock prices should in theory trace the present value of future dividends), has given rise to controversies regarding stock price determination (Campbell and Shiller, 1988; Shiller, 1989). Recent evolutionary models, both theoretical and empirical, have tied the presence of market share instability to industry specific variables, such as specific periods in the industry life-cycle and specific “technological regimes”. The object of the paper is to explore whether there is a relationship between market share instability and stock price volatility and to what degree this relationship is connected to the concept of the industry life-cycle, and hence to industry specific factors. To do so, we explore the relationship in one particular industry, the US automobile industry. Since neither life-cycle nor finance theories attack this problem directly, we use insights from both approaches to build hypotheses which guide the data analysis. The empirical results confirm many of these hypotheses, suggesting that the degree of excess volatility is indeed partly affected by industry specific factors.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050075
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  • 3
    Electronic Resource
    Electronic Resource
    Detecting self-organisational change in economic processes exhibiting logistic growth (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 109-133 
    Details
    ISSN: 1432-1386
    Keywords: Key words: Discontinuity ; Evolution ; Logistic diffusion ; Non-linearity ; Non-stationarity ; Self-organisation ; Spectral methods ; JEL-classification: C4; C5; N1; N2
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper offers an econometric methodology for the detection of self-organisational change (defined in terms of the presence of time irreversibility, structural change and fundamental uncertainty) in economic processes that follow logistic diffusion growth paths in historical time. The approach we adopted is built upon recent developments in `moving window' spectral methods which are applied to the scaled residuals generated by estimated logistic diffusion models. We illustrate the use of such methods by examining the case of a financial instrument, namely, the Australian Building Society Deposit, which experienced logistic growth in its market share until bank deregulation was enacted in the 1980s. We show that there is clear evidence that self-organisational change is present over the historical period considered.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050077
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  • 4
    Electronic Resource
    Electronic Resource
    Scale effects in Schumpeterian models of economic growth (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 157-185 
    Details
    ISSN: 1432-1386
    Keywords: Key words: Economic growth ; R&D ; Scale effects ; JEL-classification: O2; O3
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Early models of Schumpeterian growth incorporate scale effects predicting that large economies grow faster than small economies, and that population growth causes accelerating per capita income growth. An absence of clear empirical evidence for these scale effects has led some researchers to question the foundations underlying the Schumpeterian approach to growth. This paper reviews empirical evidence on the relationship between scale and growth, and recent attempts to construct Schumpeterian growth models without scale effects.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050079
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  • 5
    Electronic Resource
    Electronic Resource
    Economic natural selection in Bertrand and Cournot settings (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 211-224 
    Details
    ISSN: 1432-1386
    Keywords: Key words: Oligopoly ; Bertrand equilibrium ; Cournot equilibrium ; Natural selection ; Evolutionary games ; JEL-classification: D43; L13; C72
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. We study economic natural selection in classical oligopoly settings. When underlying pure strategies consist of a finite number of prices, convex monotonic dynamics always converge under a weak condition to the smallest price in the support of the initial state that exceeds marginal cost. When underlying pure strategies consist of a finite number of quantities, monotonic dynamics always converge under a specific condition to a quantity equal or similar to classical Cournot equilibrium.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050081
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  • 6
    Electronic Resource
    Electronic Resource
    Learning and behavioral stability An economic interpretation of genetic algorithms (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 225-242 
    Details
    ISSN: 1432-1386
    Keywords: Key words: Learning ; Computational economics ; Genetic algorithms ; Markov process ; Evolutionary dynamics ; JEL classifications: C63 – C73 – D83
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This article tries to connect two separate strands of literature concerning genetic algorithms. On the one hand, extensive research took place in mathematics and closely related sciences in order to find out more about the properties of genetic algorithms as stochastic processes. On the other hand, recent economic literature uses genetic algorithms as a metaphor for social learning. This paper will face the question of what an economist can learn from the mathematical branch of research, especially concerning the convergence and stability properties of the genetic algorithm. It is shown that genetic algorithm learning is a compound of three different learning schemes. First, each particular scheme is analyzed. Then it is shown that it is the combination of the three schemes that gives genetic algorithm learning its special flair: A kind of stability somewhere in between asymptotic convergence and explosion.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050082
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  • 7
    Electronic Resource
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    Arrested development: the experience of European hard disk drive firms in comparison with US and Japanese firms (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 287-329 
    Details
    ISSN: 1432-1386
    Keywords: Key words: Comparative industry evolution ; Technological evolution ; Institutional economics ; JEL-classification: O31 ; O32
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper analyses how US, Japanese, and European HDD firms responded to technological shifts in the hard disk industry from 1973 through 1996. Leading incumbent US HDD firms were frequently forced out of the market. Leading Japanese incumbent firms in the same industry, however, were not displaced by these changes. US startup firms thrived under these technological shifts, displacing US incumbent firms. Japanese startups did poorly. European firms encountered the worst of both worlds: its incumbent firms were frequently displaced by technological changes, as were US firms; while startup firms (with one exception) performed as poorly as those in Japan.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050085
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  • 8
    Electronic Resource
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    A comparison of clustering dynamics in the US and UK computer industries (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 373-399 
    Details
    ISSN: 1432-1386
    Keywords: Key words: Geographical clustering ; Dynamics ; Growth ; Entry ; Computer industry ; JEL-classification: L10 ; O30
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper compares the dynamics of the process by which geographical clusters emerge in the US and UK computer industries, by modelling the evolution of firm growth and entry. In both countries, new companies are attracted by industry strength in particular sub-sectors in a particular region. Moreover, incumbent firms located in a cluster that is strong in their own sub-sector of the industry tend to grow faster than average. While there are some second order differences between the models estimated for the US and the UK, it appears that the dynamics of clustering are similar. In particular, there is no evidence that clustering effects are weaker in the UK than in the US.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050088
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  • 9
    Electronic Resource
    Electronic Resource
    The learning economy and embodied knowledge flows in Great Britain (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 431-451 
    Details
    ISSN: 1432-1386
    Keywords: Key words: Learning – Knowledge – Human capital – Economic development ; JEL-classification: J24, J44, L23, O15
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper examines the `learning economy' from the perspective of occupational characteristics and changes in the British labour market between 1980 and 1992. Following a discussion of the learning and knowledge economy, cross-sectional employment data are analysed to ascertain which occupations can be classified as knowledge-based. Longitudinal career history data are then used to trace the flows of these `knowledge workers' over time. Sectoral shifts are examined, with a particular focus on the knowledge-intensive service sectors. The data come from the Employment in Britain survey: a large-scale employee survey from 1992. The approach used allows us to measure somewhat intangible aspects of economic behaviour such as learning and tacit knowledge and attempt to trace their flows. Shifts in knowledge from the manufacturing to the service sector are shown to be important and related to previous work which demonstrated the importance of knowledge intensive business services for both output and productivity in manufacturing.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050090
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  • 10
    Electronic Resource
    Electronic Resource
    The Hahn-Solow macro model (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 265-270 
    Details
    ISSN: 1432-1386
    Keywords: Key words: Involuntary unemployment ; Increasing returns on capital ; Rubinstein game ; Fair equilibrium ; Monetary policy ; JEL-classification: E 10; E 12
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. The Hahn-Solow macromodel is characterized by fixed nominal wages, increasing returns on capital and pricesetting under an imperfect competitive environment. It proposes that a fall in unemployment is always accompanied by a rise in real wages. The two authors demonstrate that involuntary unemployment is compatible with equilibrium in the goods- and labormarket but they can hardly explain the macroeconomic records of the recent three decades in the US and in Europe.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050084
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  • 11
    Electronic Resource
    Electronic Resource
    A note on evolutionary stability of Bertrand equilibrium (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 367-371 
    Details
    ISSN: 1432-1386
    Keywords: Key words: Bertrand ; Oligopoly ; Evolution ; Evolutionary stability ; JEL-classification: D43 ; L13 ; C72
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. It is shown that the equilibrium notion of an evolutionary stable strategy (ESS) does have predictive power for standard models of Bertrand competition. This is in contrast to a recent claim by Qin and Stuart (1997). The claim is based on the observation that the solution concept ESS behaves discontinuously when finite (discrete) action games approach an infinite (continuous) action game in the limit. Furthermore, it is argued that from a model-theoretic point of view evolutionary stability in prices (i.e. in the Bertrand model) is quite different from evolutionary stability in quantities (i.e. in the Cournot model).
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050087
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  • 12
    Electronic Resource
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    Firms as the source of innovation and growth: the evolution of technological competence (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 331-366 
    Details
    ISSN: 1432-1386
    Keywords: Key words: Corporate technological competence ; Technological persistence ; Firms ; Innovation ; Growth ; JEL-classification: L23 ; O31 ; N80
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. It is argued that the firm is the principal source of innovation and growth, a device for the establishment of technological competence, and for its continued development over time. Markets, products and background knowledge may change quite dramatically over time. Yet as a result of the cumulative nature of learning in the production processes of firms, the profile of corporate technological competence will tend to persist over quite long periods, provided there is institutional continuity. Within the same firm, competence may evolve into related areas, but the firm's technological origins will remain identifiable in its subsequent trajectories. However, if the institution itself changes more dramatically, this technological persistence may be disrupted. Supporting evidence is provided from data on the patenting of 30 large US and European companies, which have been continuously active since the interwar period. The science and the knowledge base, and the composition of products and markets may shift quite radically, but the firm's productive and technological system itself is potentially more stable. The firm provides a vehicle for potential institutional continuity and a device for managing transitions within the economic system.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050086
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  • 13
    Electronic Resource
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    Evolutionary economics and economic geography (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 411-429 
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    ISSN: 1432-1386
    Keywords: Key words: New technology – Economic geography – Evolutionary economics – Agglomeration economies – Regional adjustment ; JEL-classification: O18, O30, R00, R11
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This article attempts to explore how key notions from Evolutionary Economics, such as selection, path-dependency, chance and increasing returns, may be applied to two key topics in Economic Geography. The first issue is the problem of how to specify the (potential) impact of the spatial environment on new variety in terms of technological change. Evolutionary thinking may be useful to describe and explain: (1) the process of localized `collective' learning in a regional context, (2) the adjustment problems that regions may be confronted with in a world of increasing variation, and (3) the spatial formation of newly emerging industries as an evolutionary process, in which the spatial connotation of increasing returns (that is, agglomeration economies) may result in a spatial lock-in. The second issue is the problem of how new variety may affect the long-term evolution of the spatial system. We distinguish three approaches that, each in a different way, apply evolutionary notions to the nature of spatial evolution. This is strongly related to the issue whether mechanisms of chance and increasing returns, rather than selection and path-dependency, lay at the root of the spatial evolution of new technology.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050089
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  • 14
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    Heterogeneous beliefs and learning in forward looking economic models* (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 453-464 
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    ISSN: 1432-1386
    Keywords: Key words: Forward looking models – Heterogeneous agents – Bounded rationality learning ; JEL-classification: C62, D83, D84, E40
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. We study a class of forward looking economic models with heterogeneous agents in a bounded rationality setting. The agents employ the same recursive learning rule to update beliefs but are characterized by different memory parameters. The peculiarity of the learning mechanism is that the learning rate is not vanishing in the limit. Differently from what is obtained in the case of a vanishing learning step, i.e., the stability conditions in the heterogeneous agents case are those of the representative agent model, we show that heterogeneity matters for the expectational stability of a stationary perfect foresight equilibrium and that the stability parameter restrictions with heterogeneous agents are stronger than in the case of homogeneous agents.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050091
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  • 15
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    The hunt for S-shaped growth paths in technological innovation: a patent study* (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 487-526 
    Details
    ISSN: 1432-1386
    Keywords: Key words: Schumpeterian perspectives – Innovation cycles – Logistic biological growth – Patents – Diversity of technology dynamics and clusters ; JEL-classification: O30, O31, P49
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Since the works by the business cycle theorists in the 1930s, no attempts have been made to study empirically the long term evolution paths of individual technologies starting with long time series. This is an empirical exploration and confirmation of the now almost assumed image or metaphor of the way technology develops; that it follows an S-shaped growth path which is commonly associated with a similar shaped diffusion function of entrepreneurial activity. The paper also confirms the diversity of technology dynamics and explores how technological cycle takeoffs appear to be clustered within certain historical epochs. The results have implications for our understanding of the evolution paths of individual technologies, and of the evolution of technological systems and waves of innovation. By use of computational statistics, logistic growth functions are fitted to US patent stocks, 1920–1990, at a detailed level of aggregation, including chemical, electrical/electronic, mechanical, transport and non-industrial technologies. Some practical considerations when developing an empirically testable model of innovation cycles are addressed in the paper as well.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050093
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  • 16
    Electronic Resource
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    Economic Evolution, Learning, and Complexity (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 1-4 
    Details
    ISSN: 1432-1386
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050072
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  • 17
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    Knowledge spillovers in biotechnology: sources and incentives (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 97-107 
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    ISSN: 1432-1386
    Keywords: Key words: Biotechnology ; Knowledge spillovers ; Science ; Entrepreneurship ; Startups ; JEL-classification: LO; O1; O3
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. This paper sheds light on the questions, Why does knowledge spill over? and How does knowledge spill over? The answer to these questions we suggest lies in the incentives confronting scientists to appropriate the expected value of their knowledge considered in the context of their path-dependent career trajectories. In particular, we focus on the ability of scientists to appropriate the value of knowledge embedded in their human capital along with the incentive structure influencing if and how scientists choose to commercialize their knowledge. We conclude that the spillover of knowledge from the source creating it, such as a university, research institute, or industrial corporation, to a new-firm startup facilitates the appropriation of knowledge for the individual scientist(s) but not necessarily for the organization creating that new knowledge in the first place.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001910050076
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  • 18
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    Norms as emergent properties of adaptive learning: The case of economic routines (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 5-26 
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    ISSN: 1432-1386
    Keywords: Key words: Computability ; Genetic Programming ; Oligopoly ; JEL-classification: C63; D43; D83
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Interaction among autonomous decision-makers is usually modelled in economics in game-theoretic terms or within the framework of General Equilibrium. Game-theoretic and General Equilibrium models deal almost exclusively with the existence of equilibria and do not analyse the processes which might lead to them. Even when existence proofs can be given, two questions are still open. The first concerns the possibility of multiple equilibria, which game theory has shown to be the case even in very simple models and which makes the outcome of interaction unpredictable. The second relates to the computability and complexity of the decision procedures which agents should adopt and questions the possibility of reaching an equilibrium by means of an algorithmically implementable strategy. Some theorems have recently proved that in many economically relevant problems equilibria are not computable. A different approach to the problem of strategic interaction is a “constructivist” one. Such a perspective, instead of being based upon an axiomatic view of human behaviour grounded on the principle of optimisation, focuses on algorithmically implementable “satisfycing” decision procedures. Once the axiomatic approach has been abandoned, decision procedures cannot be deduced from rationality assumptions, but must be the evolving outcome of a process of learning and adaptation to the particular environment in which the decision must be made. This paper considers one of the most recently proposed adaptive learning models: Genetic Programming and applies it to one the mostly studied and still controversial economic interaction environment, that of oligopolistic markets. Genetic Programming evolves decision procedures, represented by elements in the space of functions, balancing the exploitation of knowledge previously obtained with the search of more productive procedures. The results obtained are consistent with the evidence from the observation of the behaviour of real economic agents.
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    URL: http://dx.doi.org/10.1007/s001910050073
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  • 19
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    Reassessing the empirical validity of the human-capital augmented neoclassical growth model (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 135-154 
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    ISSN: 1432-1386
    Keywords: Key words: Economic growth ; Solow model ; Technology ; Human capital ; JEL-classification: O2 ; O3
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. We reassess Mankiw, Romer and Weil's [mrw] version of the Solow model using, as did mrw, cross-sectional data to estimate the steady-state equation governing income per capita levels. The model fails in two critical areas. First, plausible factor shares obtained by mrw are not robust to the substitution of two measures of human capital that are more precise than the secondary school enrollment rates used by mrw. Second, the null hypothesis of an exogenous and identical level of technology in all countries is rejected. We also explain why the Solow model performed well despite the above shortcomings.
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    URL: http://dx.doi.org/10.1007/s001910050078
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  • 20
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    Evolution and sub-optimal behaviour (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 187-209 
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    ISSN: 1432-1386
    Keywords: Key words: Suboptimal behaviour ; Evolutionary stability ; Sexual inheritance ; Assortative mating ; Population dynamics ; JEL-classification: D00; D89
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. The apparently sub-optimal behaviour of economic agents in games against nature can be seen as a natural outcome of evolutionary processes. This paper extends previous work on the evolutionary stability of sub-optimal adaptations by examining how stability is affected by the introduction of multiple traits and assortative mating. It is shown that increasing the number of traits tends to increase the scope for stable second best adaptations whilst assortative mating reduces it. Various economic applications are discussed.
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    URL: http://dx.doi.org/10.1007/s001910050080
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  • 21
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    Endogenous local interaction and multi-product firms (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 243-263 
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    ISSN: 1432-1386
    Keywords: Key words: Multi-product firms ; Diversification ; Information gathering ; Learning ; JEL-classification: C79; D83; L13
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. Multi-product firms are modelled as locally interacting entities that gather information on the profitability of product combinations in an environment defined in terms of their currently supplied markets. They learn from their own past play. Local information gathering may slow down convergence and may prohibit profit rates from becoming equal. Cycles show parts of the economy that are in rest, while others remain in a state of flux. The first two results stem from the endogeneity of the interaction structure, while the third follows from the interplay of learning and information gathering.
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    URL: http://dx.doi.org/10.1007/s001910050083
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  • 22
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    Routines and incentives in group tasks* (1999)
    Springer
    Journal of evolutionary economics 9 (1999), S. 465-486 
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    ISSN: 1432-1386
    Keywords: Key words: Coordination – Incentives – Learning – Routine ; JEL classification: D83, C90
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. The artificial context “Target the Two” has been used in experiments to explore some of the features of routinization and learning. Two agents must learn to coordinate their actions to achieve a common goal, without being allowed to use verbal communication. This article reports an experiment, in which we compare the degree of routinization and the performance of players in two treatments. Each treatment submits players to the same sequence of starting configurations, but differs in terms of the payoff function. In the first treatment (A), the payoff is based on the number of moves required to achieve the goal, whereas in the second treatment (B) the payoff depends on the time required for completion. We observe that (1) in treatment B subjects tend to play in a more “routinized” way and (2) treatment B reduces the time spent on play, but does not decrease the resources (the number of moves) used, relative to treatment A.
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    URL: http://dx.doi.org/10.1007/s001910050092
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  • 23
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    Weak measurability and characterizations of risk (1999)
    Springer
    Economic theory 13 (1999), S. 541-560 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Weak measurability Pettis integrability ; Bochner integrability ; Decomposition ; Law of large numbers ; Large games. ; JEL Classification Numbers: C60 ; D80.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. In the context of a continuum of random variables, arising, for example, as rates of return in financial markets with a continuum of assets, or as individual responses in games with a continuum of players, an important economic issue is to show how idiosyncratic risk can be removed through some device of aggregation or diversification when such risk is explicitly introduced into the model. In this paper, we use recent work of Al-Najjar [1] as a general backdrop to provide a review of the basic issues involved when the continuum is formulated as the Lebesgue interval. We present two examples to argue that the fundamental problem of the non-measurability of sample functions, originally identified by Doob, and further elaborated by Feldman, Gilles and Judd in the economic literature, simply cannot be bypassed by reinterpretations of standard results. We also provide an equivalence result in the spirit of Al-Najjar's efforts; but argue that this elementary result does not go beyond the standard law of large numbers for a sequence of real-valued iid random variables, and as such, is incapable of yielding anything of substantive economic interest beyond this law.
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    URL: http://dx.doi.org/10.1007/s001990050269
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  • 24
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    On the uniqueness of fully informative rational expectations equilibria (1999)
    Springer
    Economic theory 13 (1999), S. 1-24 
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    ISSN: 1432-0479
    Keywords: JEL Classification Numbers: D82 ; D84 ; G12.
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    Topics: Economics
    Notes: Summary. This paper analyzes two equivalent equilibrium notions under asymmetric information: risk neutral rational expectations equilibria (rn-REE), and common knowledge equilibria. We show that the set of fully informative rn-REE is a singleton, and we provide necessary and sufficient conditions for the existence of partially informative rn-REE. In a companion paper (DeMarzo and Skiadas (1996)) we show that equilibrium prices for the larger class of quasi-complete economies can be characterized as rn-REE. Examples of quasi-complete economies include the type of economies for which demand aggregation in the sense of Gorman is possible (with or without asymmetric information), the setting of the Milgrom and Stokey no-trade theorem, an economy giving rise to the CAPM with asymmetric information but no normality assumptions, the simple exponential-normal model of Grossman (1976), and a case of no aggregate endowment risk. In the common-knowledge context, we provide necessary and sufficient conditions for a common knowledge posterior estimate, given common priors, to coincide with the full communication posterior estimate.
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    Adaptive learning in extensive form games and sequential equilibrium (1999)
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    Economic theory 13 (1999), S. 125-142 
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    ISSN: 1432-0479
    Keywords: JEL Classification Numbers: C72 ; D83.
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    Topics: Economics
    Notes: Summary. This paper studies adaptive learning in extensive form games and provides conditions for convergence points of adaptive learning to be sequential equilibria. Precisely, we present a set of conditions on learning sequences such that an assessment is a sequential equilibrium if and only if there is a learning sequence fulfilling the conditions, which leads to the assessment.
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    Determinacy of competitive equilibria in economies with many commodities (1999)
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    Economic theory 14 (1999), S. 29-87 
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    ISSN: 1432-0479
    Keywords: Key words: Regular economies ; Determinacy ; Comparative statics ; Local uniqueness ; Infinite-dimensional commodity space ; Infinite horizon economies ; Uniform concavity. ; JEL Classification Numbers: D51 ; C62 ; D90.
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    Topics: Economics
    Notes: Abstract. This paper provides a framework for establishing the determinacy of equilibria in general equilibrium models with infinitely many commodities and a finite number of consumers and producers. This paper defines a notion of regular economy for such models and gives sufficient conditions on the excess savings equations characterizing equilibria under which regular economies have a finite number of equilibria, each of which is locally stable with respect to perturbations in exogenous parameters, and under which regular economies are generic. This paper also defines two notions of concavity, called uniform concavity and weighted uniform concavity, which generalize standard finite-dimensional notions of differential concavity to an infinite-dimensional setting by prohibiting goods from becoming perfect substitutes asymptotically. For the case of economies in which there are countably many commodities, such as discrete time models or markets with countably many assets, results in this paper show that equilibria are generically determinate as long as utility functions and production sets are uniformly concave or weighted uniformly concave.
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    Strategic transmission of information and short-term commitment (1999)
    Springer
    Economic theory 14 (1999), S. 131-153 
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    ISSN: 1432-0479
    Keywords: Key words and Phrases:Repeated principal-agent relationship, Adverse selection, Information transmission. ; JEL Classification Numbers:D81, D82.
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    Topics: Economics
    Notes: Summary. We examine the strategic role of information transmission in a repeated principal-agent relationship where the agent produces information that is useful to the principal. The agent values continuous employment for the principal because he makes a relationship-specific investment that can yield rents to him when the relationship is renewed. Assuming that the parties are sufficiently impatient, we show that full disclosure of the information produced occurs early in the relationship when the principal can commit to a long-term relationship, when the agent observes his valuation of continuous employment after making a report on information produced, or when the agent obtains a low valuation of continuous employment before making a report. By contrast, a strategic delay in the transmission of information occurs when the principal can only commit to a short-term relationship and the agent obtains a high valuation of continuous employment before making a report.
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    Externalities, expectations, and growth (1999)
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    Economic theory 14 (1999), S. 203-218 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Growth ; Network externalities ; Multiplicity of equilibrium. ; JEL Classification Numbers: C72 ; O30 ; O40.
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    Topics: Economics
    Notes: Summary. The paper studies a model of accumulation and growth where a continuum of heterogeneous firms play dynamically optimal strategies along a (rational expectations) equilibrium. The key feature of the model is that firms' technological decisions are assumed subject to both friction and external effects. This gives rise to a wide multiplicity of equilibrium behavior, any path of sustained growth requiring that the economy tackle a never-ending chain of fresh coordination problems. This setup is modelled as a (non-atomic) dynamic game, suitable conditions being provided that partially characterize when sustained growth is a possible (never the unique) equilibrium outcome.
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    The limit theorem on the core of a production economy in vector lattices with unordered preferences (1999)
    Springer
    Economic theory 14 (1999), S. 219-226 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Riesz space ; Vector lattice ; Uniform properness ; Limit theorem on the core ; Production economy. ; JEL Classification: C62 ; C71 ; C51.
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    Topics: Economics
    Notes: Summary. We prove Aliprantis, Brown, and Burkinshaw's (1987) theorem on the equivalence of Edgeworth production equilibria and pseudo-equilibria in a more general setting. We consider production economies with unordered preferences and general consumption sets in a vector lattice commodity space. We adapt the approach of Mas-Colell and Richard (1991) and prove our theorem by applying a separating hyperplane argument in the space of all allocations. We also generalize Podczeck's (1996) important result on the relationship between continuous and discontinuous equilibrium prices to the case of production.
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    Bounding the benefits of stochastic auditing: The case of risk-neutral agents (1999)
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    Economic theory 14 (1999), S. 247-253 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Stochastic auditing ; Costly state verification model ; Risk neutrality. ; JEL Classification Numbers: D82 ; D20 ; G20 ; H26.
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    Topics: Economics
    Notes: Summary. In the context of a costly-state-verification model with a risk-neutral agent having limited liability, it has been postulated that allowing stochastic auditing reduces the asymmetric information problem to a trivial one: i.e., the first best can be approached arbitrarily closely with feasible contracts. This paper proves the postulate to be false: the surplus from feasible contracts is bounded strictly below the first-best surplus level. The bound is straightforward to compute in examples. The paper thus removes a justification for the restriction to deterministic auditing commonly made in the literature.
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    Decentralizing Edgeworth equilibria in economies with many commodities (1999)
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    Economic theory 14 (1999), S. 297-310 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases:Walrasian equilibrium, Edgeworth equilibrium, core-equivalence theorem, F-properness, E-properness, M-properness. ; JEL Classification Numbers:C62, D51.
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    Topics: Economics
    Notes: Summary. This paper proves core-equivalence theorems for exchange economies without ordered preferences, defined on locally convex Riesz commodity spaces such that the price space is a lattice. Properness assumptions are borrowed from some recent equilibrium existence results.
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    Rationalizability and equilibrium in N-person sequential bargaining (1999)
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    Economic theory 14 (1999), S. 353-371 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Sequential bargaining, N-person, Rationalizability. ; JEL Classification Numbers:C72, C78.
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    Topics: Economics
    Notes: Summary. This paper deals with N-person sequential bargaining games with complete information. For N-person sequential bargaining games, uniqueness of the SPE has been obtained by allowing the players to exit with partial agreements. Adopting a non-equilibrium approach, we show that N-person sequential bargaining games with exit are solvable by a refinement of rationalizability for multi-stage games (trembling-hand rationalizability) whatever the impatience of the players. That is, once we adopt the non-equilibrium approach, the exit opportunity still fulfils its original aim: we achieve a unique solution by introducing the exit opportunity. Moreover, this unique solution is the unique SPE.
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    Assignment models and reneging (1999)
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    Economic theory 14 (1999), S. 393-415 
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    Keywords: Keywords and Phrases: Assignment models, Reneging, Stability. ; JEL Classification Number:C78.
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    Topics: Economics
    Notes: Summary. We consider a non-cooperative assignment model where we show that any subgame perfect equilibrium is stable, and that an appropriate refinement criterion leads to the p-optimal outcome. We then consider a model with reneging and derive some interesting properties of this game. We show that in this case ‘unraveling’ may occur. Furthermore, the resulting outcome can be either stable, or unstable.
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    A simple proof of the Sato proposition on non-homothetic CES functions (1999)
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    Economic theory 14 (1999), S. 501-503 
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    Keywords: Keywords and Phrases: Non-homothetic CES function Duality. ; JEL Classification Number: E13.
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    Topics: Economics
    Notes: Summary. Based on some elementary results on duality, the paper proposes a much simpler way of deriving the class of non-homothetic CES production functions which was derived as a solution to a partial differential equation that defines the elasticity of substitution.
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    The complete removal of individual uncertainty: multiple optimal choices and random exchange economies (1999)
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    Economic theory 14 (1999), S. 507-544 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Individual uncertainty, Removal of widespread correlations, General equilibrium models with idiosyncratic shocks. ; JEL Classification Numbers: C60, D51, D80.
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    Topics: Economics
    Notes: Summary. The aim of this paper is to develop some measure-theoretic methods for the study of large economic systems with individual-specific randomness and multiple optimal actions. In particular, for a suitably formulated continuum of correspondences, an exact version of the law of large numbers in distribution is characterized in terms of almost independence, which leads to several other versions of the law of large numbers in terms of integration of correspondences. Widespread correlation due to multiple optimal actions is also shown to be removable via a redistribution. These results allow the complete removal of individual risks or uncertainty in economic models where non-unique best choices are inevitable. Applications are illustrated through establishing stochastic consistency in general equilibrium models with idiosyncratic shocks in endowments and preferences. In particular, the existence of “global” solutions preserving microscopic independence structure is shown in terms of competitive equilibria for the cases of divisible and indivisible goods as well as in terms of core for a case with indivisible goods where a competitive equilibrium may not exist. An important feature of the idealized equilibrium models considered here is that standard results on measure-theoretic economies are now directly applicable to the case of random economies. Some asymptotic interpretation of the results are also discussed. It is also pointed out that the usual unit interval [0,1] can be used as an index set in our setting, provided that it is endowed together with some sample space a suitable larger measure structure.
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    A turnpike property of optimal programs for a class of simple linear models of production (1999)
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    Economic theory 14 (1999), S. 597-607 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Turnpike theorem, Input output matrix. ; JEL Classification Numbers: C61, C67, D90, O21.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. This paper establishes a ‘turnpike theorem’ for a closed linear model of production with a primitive input requirement matrix. Optimal programs of resource allocation have a ‘turnpike property’ if the growth factor of every sector in the economy converges, in the long run, to a common value. The usefulness of such a theorem is due to the fact that the input requirement matrix for an economy with a large number of goods may be primitive (some power of the matrix is strictly positive).
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    Welfare-improving financial innovation with a single good (1999)
    Springer
    Economic theory 13 (1999), S. 25-40 
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    ISSN: 1432-0479
    Keywords: JEL Classification Numbers: D52 ; D60 ; G10.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. We show that at any equilibrium of almost every single-good incomplete markets economy, it is possible to find an asset which when introduced makes every agent better-off. Diamond (1967) has shown, however, that such economies are constrained suboptimal, so it is of course impossible to find a new asset which makes all agents worse-off. This contrasts with the case of multiple consumption goods, for which Cass and Citanna (1995) and Elul (1995) demonstrate that equilibrium utilities may be arbitrarily perturbed via financial innovation. Proving our result requires us to exploit not changes in equilibrium prices, but rather the gains to trading the new asset. In particular, we find an asset which when introduced does not change the existing asset prices even though it is traded by every agent – by a revealed preference argument it must therefore make everyone better-off.
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    How complex are networks playing repeated games? (1999)
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    Economic theory 13 (1999), S. 93-123 
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    Keywords: Keywords and Phrases: Network ; Complexity ; Repeated games. ; JEL Classification Number: C72.
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    Topics: Economics
    Notes: Summary. This paper examines implications of complexity cost in implementing repeated game strategies through networks with finitely many classifiers. A network consists of individual classifiers that summarize the history of repeated play according to a weighted sum of the empirical frequency of the outcomes of the stage game, and a decision unit that chooses an action in each period based on the summaries of the classifiers. Each player maximizes his long run average payoff, while minimizing the complexity cost of implementing his strategy through a network, measured by its number of classifiers. We examine locally stable equilibria where the selected networks are robust against small perturbations. In any locally stable equilibrium, no player uses a network with more than a single classifier. Moreover, the set of locally stable equilibrium payoff vectors lies on two line segments in the payoff space of the stage game.
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    Disaggregation of excess demand and comparative statics with incomplete markets and nominal assets (1999)
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    Economic theory 13 (1999), S. 287-308 
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    Keywords: Keywords and Phrases: Excess demand functions ; Incomplete markets. ; JEL Classification Numbers: D52 ; C62.
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    Topics: Economics
    Notes: Summary. We prove that locally, Walras' law and homogeneity characterize the structure of market excess demand functions when financial markets are incomplete and assets' returns are nominal. The method of proof is substantially different from all existing arguments as the properties of individual demand are also different. We show that this result has important implications and is part of a more general result that excess demand is an essentially arbitrary function not just of prices, but also of the exogenous parameters of the economy as asset returns, preferences, and endowments. Thus locally the equilibrium manifold, relating equilibrium prices to these parameters has also no structure.
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    The likelihood of dubious election outcomes (1999)
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    Economic theory 13 (1999), S. 345-363 
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    Keywords: Keywords and Phrases: Voting ; Central limit theorem ; Paradoxes. ; JEL Classification Numbers: D71 ; D72.
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    Topics: Economics
    Notes: Summary. A disturbing phenomenon in voting, which causes most of the problems as well as the interest in the field, is that election outcomes (for fixed preferences) can change with the way the ballots are tallied. This causes difficulties because with each possible choice, some set of voters can be dubious about whether it is the “correct” one. But, how likely are these settings allowing multiple election outcomes? By combining properties of the geometry of voting developed by Saari with a analytic-geometric technique created by Schlafli, we determine the likelihood that a three candidate election can cause these potentially dubious outcomes.
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    Abraham Wald's equilibrium existence proof reconsidered (1999)
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    Economic theory 13 (1999), S. 417-428 
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    Keywords: Keywords and Phrases: Abraham Wald ; Existence of equilibrium ; Pseudomonotonicity ; Variational inequality problem. ; JEL Classification Numbers: B21 ; C62.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. For his proof of the existence of a general competitive equilibrium Abraham Wald assumed a strictly pseudomonotone inverse market demand function or, equivalently, that market demand satisfies the Weak Axiom of Revealed Preference. It is well known that more recent existence theorems do not need this assumption. In order to clarify its role in Wald's proof, the question of existence of an equilibrium for a modified version of the Walras-Cassel model is reduced to the solvability of a related variational inequality problem. In general, the existence of a solution to such a problem can only be proved by advanced mathematical methods. We provide an elementary induction proof which demonstrates the essence of Abraham Wald's famous contribution.
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    Uncertainty and insurance in strategic market games (1999)
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    Economic theory 14 (1999), S. 181-201 
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    Keywords: Keywords and Phrases: Strategic markets games ; Organization of markets under uncertainty. ; JEL Classification Numbers: D40 ; D50 ; D80.
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    Topics: Economics
    Notes: Summary. For perfectly competitive economies under uncertainty, there is a well-known equivalence between a formulation with contingent goods and one with state-specific securities followed by spot markets for goods. In this paper, I examine whether this equivalence carries over to a particular form of imperfect competition. Specifically, I look at three Shapley-Shubik strategic market games: one with contingent commodities, one with Arrow securities traded under imperfect competition and one with Arrow securities traded under perfect competition. First I compare the feasibility constraints of these three games. Then I compare their equilibrium sets. As in Peck and Shell (1989), the only common equilibria between the first and the second game are those which involve no transfer of income across states. However, if the securities markets are competitive, then the set of equilibria of the contingent commodities game and the securities game coincide.
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    Decentralized computation procurement and computational robustness in a smart market (1999)
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    Economic theory 13 (1999), S. 41-92 
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    Keywords: JEL Classification Numbers: D44 ; D83 ; D82 ; C92.
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    Topics: Economics
    Notes: Summary. Several `smart market' mechanisms have recently appeared in the literature. These mechanisms combine a computer network that collects bids from agents with a central computer that selects a schedule of bids to fill based upon maximization of revenue or trading surplus. Potential problems exist when this optimization involves combinatorial difficulty sufficient to overwhelm the central computer. This paper explores the use of a computation procuring clock auction to induce human agents to approximate the solutions to discrete constrained optimization problems. Economic and computational properties of the auction are studied through a series of laboratory experiments. The experiments are designed around a potential application of the auction as a secondary institution that approximates the solution to difficult computational problems that occur within the primary `smart market', and show that the auction is effective and robust in eliciting and processing suggestions for improved schedules.
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    Strong rationalizability for two-player noncooperative games (1999)
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    Economic theory 13 (1999), S. 143-169 
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    Keywords: JEL Classification Number: C72.
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    Topics: Economics
    Notes: Summary. The paper introduces a version of rationalizability that ignores strategies that are supported by negligible sets of beliefs, where a negligible set is one whose Lebesgue measure is zero. The theory is developed solely for the special case of point rationalizability; conditions are then derived under which point rationalizability entails no loss of generality. When these conditions obtain, the predictions yielded by this approach are often (although not always) a significant reduction over what is predicted by rationalizability.
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    Fiscal rules of income transformation (1999)
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    Economic theory 13 (1999), S. 199-205 
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    Keywords: JEL Classification Numbers: D31 ; D63 ; H24.
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    Topics: Economics
    Notes: Summary. The purpose of this paper is to characterize the class of fiscal rules of income transformation which are equity improving and, at the same time, preserve the ranking of existing distributions. Contrary to the related literature individual well-being depends not just on income but also on prices. We show that, when the environment is restricted such that a general transformation class still can be defined, the only “desirable” fiscal rule is the simple redistributive linear taxation schedule, of the same type that is the rule in practice in most economies.
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    Payoff equivalence between Bayesian and ex post individually rational dominant strategy mechanisms★ (1999)
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    Economic theory 13 (1999), S. 229-237 
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    Keywords: Keywords and Phrases: Allocative efficiency ; Bayesian incentive compatible mechanisms ; Dominant strategy implementation ; Payoff equivalence. ; JEL Classification Numbers: D82 ; D7.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. An efficient, interim individually rational, ex post budget balanced Bayesian mechanism is shown to be payoff equivalent to an ex post individually rational and ex ante budget balanced dominant strategy mechanism. This result simplifies the search for mechanisms that implement efficient allocation rules by pointing to a class of Groves mechanisms. It eliminates the strict requirement of common knowledge of priors and can be applied to many problems of incomplete information.
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    Least convex capacities (1999)
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    Economic theory 13 (1999), S. 263-286 
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    Keywords: Keywords and Phrases: Uncertainty ; Uncertainty aversion ; Choquet expected utility ; Capacity ; Convex capacity ; Risk aversion ; Ambiguity ; Non-additive probability. ; JEL Classification Numbers: C69 ; D81.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. Debreu proposed the notion of `least concave utility' as a way to disentangle risk attitudes from the certainty preferences embedded in a von-Neumann Morgenstern index. This paper studies preferences under uncertainty, as opposed to risk, and examines a corresponding decomposition of preference. The analysis is carried out within the Choquet expected utility model of preference and is centered on the notion of a least convex capacity.
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    Risk and evolution (1999)
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    Economic theory 13 (1999), S. 329-343 
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    Keywords: Keywords and Phrases: Risk ; Evolution ; Entrepreneur. ; JEL Classification Numbers: C72 ; D81.
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    Topics: Economics
    Notes: Summary. I examine a Knightian (1921) model of risk using a general equilibrium model of investment and trade. A population of agents with various preference types can choose between a safe production technology and a risky production technology. In addition, the distribution of types of agents changes through a standard evolutionary dynamic. For a given population distribution, the equilibrium is in general inefficient, however, by allowing the population distribution to change in response to market generated rewards, the population will converge to one where the equilibrium is efficient and where the population as a whole behaves as if all agents were risk neutral.
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    Open core and quasi-equilibria with lower semi-continuous preferences (1999)
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    Economic theory 13 (1999), S. 735-742 
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    Keywords: Keywords and Phrases: Open core Quasi-equilibrium ; Lower semi-continuity ; Existence. ; JEL Classification Number: D51.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. This note introduces a new concept of core –open core, using which it shows a quasi-equilibrium existence result in an economy where consumers' preference relations are assumed to be lower semi-continuous, but not necessarily to have open lower sections nor to be open valued, such as the lexicographic ordering. As an application, a competitive equilibrium existence result without non-satiation assumption is proved.
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    Bundling decisions for selling multiple objects (1999)
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    Economic theory 13 (1999), S. 723-733 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Auctions Bundling. ; JEL Classification Numbers: C72 ; D44 ; D82.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. Auctioneers often face the decision of whether to bundle two or more different objects before selling them. Under a Vickrey auction (or any other revenue equivalent auction form) there is a unique critical number for each pair of objects such that when the number of bidders is fewer than that critical number the seller strictly prefers a bundled sale and when there are more bidders the seller prefers unbundled sales. This property holds even when the valuations for the objects are correlated for a given bidder. The results have been proved using a mathematical technique of quantiles that can be extremely useful for similar analysis.
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    Nash equilibria in ∞-dimensional spaces: an approximation theorem (1999)
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    Economic theory 13 (1999), S. 743-751 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Nash Equilibria ∞-dimensional strategy spaces ; Finite number of players ; Approximation theorem. ; JEL Classification Number: C72.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. We show, by employing a density result for probability measures, that in games with a finite number of players and ∞-dimensional pure strategy spaces Nash equilibria can be approximated by finite mixed strategies. Given ε〉0, each player receives an expected utility payoff ε/2 close to his Nash payoff and no player could change his strategy unilaterally and do better than ε.
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    Non-computability of competitive equilibrium (1999)
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    Economic theory 14 (1999), S. 1-27 
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    ISSN: 1432-0479
    Keywords: Key words and Phrases: Bounded rationality, Computability, General equilibrium, Recursive analysis. ; JEL Classification Numbers: D51, C68.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. We provide a “computable counterexample” to the Arrow-Debreu competitive equilibrium existence theorem [2]. In particular, we find an exchange economy in which all components are (Turing) computable, but in which no competitive equilibrium is computable. This result can be interpreted as an impossibility result in both computability-bounded rationality (cf. Binmore [5], Richter and Wong [35]) and computational economics (cf. Scarf [39]). To prove the theorem, we establish a “computable counterexample” to Brouwer's Fixed Point Theorem (similar to Orevkov [32]) and a computable analogue of a characterization of excess demand functions (cf. Mas-Colell [26], Geanakoplos [16], Wong [50]).
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    Endogenous fertility and growth in a model with old age support (1999)
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    Economic theory 13 (1999), S. 393-416 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Endogenous fertility ; Old age support ; Growth. ; JEL Classification Numbers: E13 ; E20 ; E32 ; O41.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. This paper examines the interrelationship between capital accumulation, fertility, and growth by introducing an endogenous fertility decision into Diamond's (1965) neoclassical growth model. Under the assumptions that children provide old age support and that individuals incur a variable time cost of raising children, it investigates the potential for cyclical fluctuations in the capital-labor ratio and fertility, as well as for development trap phenomena to be observed. It is shown that when capital and labor are highly substitutable in production, there is a unique steady state equilibrium, and either damped or undamped oscillations in fertility and the capital-labor ratio may occur. However, when the elasticity of substitution between capital and labor is less than one, two steady state equilibria may exist; one with a high capital-labor ratio and a high rate of population growth, and the other with a lower capital-labor ratio as well as a lower population growth rate. The former is a saddle, while the latter may be either a source or a sink. In the latter case development traps are possible.
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    Manipulation-proof equilibrium in atomless economies with commodity differentiation (1999)
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    Economic theory 14 (1999), S. 545-563 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Perfect competition, Continuum economies, Incentive compatibility, Thick markets, Walrasian equilibrium. ; JEL Classification Numbers: D41, D51.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. In this paper, we introduce a perfect competition test which checks the incentives of arbitrarily small coalitions to behave strategically in endowments and preferences. We apply this coalitional incentive compatibility test to atomless economies with a continuum of differentiated commodities. We show that, under thickness conditions, economies with a finite number of types and economies whose set of agents' preferences is compact, pass this perfect competition test. Limiting results for replica economies are also presented.
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    Strategy-proof and individually rational social choice functions for public good economies: A note (1999)
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    Economic theory 14 (1999), S. 685-689 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Social choice function Strategy-proofness ; Individual rationality ; Non-bossiness. ; JEL Classification Numbers: D71 ; D82 ; H41.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. Serizawa [3] characterized the set of strategy-proof, individually rational, no exploitative, and non-bossy social choice functions in economies with pure public goods. He left an open question whether non-bossiness is necessary for his characterization. We will prove that non-bossiness is implied by the other three axioms in his characterization.
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    General equilibrium and resource economics (1999)
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    Economic theory 14 (1999), S. 691-704 
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    Keywords: Keywords and Phrases: General equilibrium, Resource economies, Truncation. ; JEL Classification Numbers: D50, Q30.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. For a number of reasons a large class of general equilibrium models from the field of resource economics does not allow for an equilibrium analysis along the lines of the theory of infinite dimensional commodity spaces. The reasons concern the choice of the commodity space and the applicability of properness assumptions with respect to preferences and the technology. This paper illustrates the difficulties and shows for a prototype model how the problems can successfully be tackled by the use of a limit argument on equilibria in the truncated economies.
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    Long run equilibria in an asymmetric oligopoly (1999)
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    Economic theory 14 (1999), S. 705-715 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Asymmetric oligopoly, Finite population evolutionarily stable strategy, Long run equilibrium. ; JEL Classification Numbers: C72, L13.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. Consider an oligopolistic industry composed of two groups (or populations) of firms, the low cost firms and the high cost firms. The firms produce a homogeneous good. I study the finite population evolutionarily stable strategy defined by Schaffer (1988), and the long run equilibrium in the stochastic evolutionary dynamics based on imitation and experimentation of strategies by firms in each group. I will show the following results. 1) The finite population evolutionarily stable strategy (ESS) output is equal to the competitive (or Walrasian) output in each group of the firms. 2) Under the assumption that the marginal cost is increasing, the ESS state is the long run equilibrium in the stochastic evolutionary dynamics in the limit as the output grid step, which will be defined in the paper, approaches to zero.
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    A difficulty with the address models of product differentiation (1999)
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    Economic theory 14 (1999), S. 717-727 
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    Keywords: Keywords and Phrases: Product differentiation, Unit demand, Heterogeneous income, Discrete choice. ; JEL Classification Numbers: D43, L13.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. In models of product differentiation and location models it is implicitly assumed that consumers can afford to buy the differentiated goods in the market. I show that with income heterogeneity there are severe existence problems of a price equilibrium in models of horizontal product differentiation with unit demand because some consumers are income-constrained. The result generalizes to other models of product differentiation, search, and switching costs. I present an alternative specification of variable individual demand in which this kind of existence problem cannot arise.
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    Efficiency and options on the market index (1999)
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    Economic theory 14 (1999), S. 227-235 
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    Keywords: Keywords and Phrases: Mutuality principle ; Option ; Market index. ; JEL Classification Number: G10.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. In a static exchange economy, when all the endowments are issued as securities on a stock exchange, Pareto optimal allocations may be reached by trading options on the market index (see Breeden and Litzenberger (1978)). We extend this result when some of the risks cannot be exchanged on the market. Options on an appropriate index, which typically differs from the market index, depending on the correlation of the non-tradable risks with the exchanged securities, are still an appropriate tool to support a (constrained) efficient equilibrium. This suggests that the recent development of derivatives based on interest rates may be an efficient way to reach a Pareto optimal allocation of risks.
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    Stability in the patent race contest of Lee and Wilde (1999)
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    Economic theory 14 (1999), S. 237-245 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Stability ; Patent race contests ; Lee and Wilde model. ; JEL Classification Numbers: C62 ; O34.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. To determine how expenditure and profits vary with the number of firms in the patent race contest of Lee and Wilde, it is traditional to impose an ad-hoc stability condition on the best response function. This paper relates the stability condition to the standard myopic adjustment mechanism and shows that a concave hazard rate function with non- increasing hazard rate elasticity is sufficient for the analysis. We provide examples and reveal additional qualitative properties of the Lee and Wilde model.
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    Differentiable von Neumann-Morgenstern utility (1999)
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    Economic theory 14 (1999), S. 285-296 
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    Keywords: Keywords and Phrases:Differentiability, Expected utility, Risk premium, Probability premium. ; JEL Classification Number:D81.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. Differentiability is a convenient property of von Neumann-Morgenstern utility functions which is almost always imposed but has not been translated into behavioral terms. In applications, expected utility is usually maximized subject to a constraint, and the maximization is carried out by differentiating the utility function. This paper presents two sets of necessary and sufficient conditions for a risk averse von Neumann-Morgenstern utility function to be differentiable. The first of them is formulated in terms of the equivalent risk premia of small gambles. It says, in brief, that the equivalent risk premium is of a smaller order of magnitude than the risk itself, as measured by the expectation of the absolute value of the risk. The second set of necessary and sufficient conditions is formulated in terms of the probability premium of small lotteries. It says, essentially, that the probability premium for small binary lotteries goes to zero as the size of the lottery goes to zero.
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    The price normalization problem in imperfect competition and the objective of the firm (1999)
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    Economic theory 14 (1999), S. 257-284 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: The price normalization problem, Imperfect competition, Oligopoly, Firms' objectives, Real wealth maximization, Profits and shareholders' demand. ; JEL Classification Numbers: D21, D42, D43, L13, L21.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. General equilibrium models of oligopolistic competition give rise to relative prices only without determining the price level. It is well known that the choice of a numéraire or, more generally, of a normalization rule converting relative prices into absolute prices entails drastic consequences for the resulting set of Nash equilibria when firms are assumed to maximize profits. This is due to the fact that changing the price normalization amounts to altering the objective functions of the firms. Clearly, the objective of a firm must not be based on price normalization rules void of any economic content. In this paper we propose a definition of the objective of a firm, called maximization of shareholders' real wealth, which takes shareholders' demand explicitly into account. This objective depends on relative prices only. Real wealth maxima are shown to exist under certain conditions. Moreover, we consider an oligopolistic market and prove the existence of a Nash equilibrium in which each firm maximizes the real wealth of its shareholders.
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    The robustness of optimal equilibrium among overlapping generations (1999)
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    Economic theory 14 (1999), S. 311-329 
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    Keywords: Keywords and Prases:Robustness, Optimal, Overlapping generations. ; JEL Classification Numbers:C60, C62.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. We combine and strengthen optimality and robustness theorems for the overlapping-generations model of money. Roughly, we find a Pareto-optimal monetary equilibrium of a generic stationary economy that is near an optimal monetary equilibrium of each nearby non-stationary economy. Since the nearby equilibria are monetary, the general problem of macroeconomic stabilization reduces to maintaining the money supply. And since the nearby equilibria are optimal, stabilization is socially desirable.
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    The multiple unit auction with variable supply (1999)
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    Economic theory 14 (1999), S. 373-392 
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    Keywords: Keywords and Phrases:Multiple unit auction, Uniform price, Price discrimination. ; JEL Classification Number:D44.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. The theory of multiple unit auctions traditionally assumes that the offered quantity is fixed. I argue that this assumption is not appropriate for many applications because the seller may be able and willing to adjust the supply as a function of the bidding. In this paper I address this shortcoming by analyzing a multi-unit auction game between a monopolistic seller who can produce arbitrary quantities at constant unit cost, and oligopolistic bidders. I establish the existence of a subgame-perfect equilibrium for price discriminating and for uniform price auctions. I also show that bidders have an incentive to misreport their true demand in both auction formats, but they do that in different ways and for different reasons. Furthermore, both auction formats are inefficient, but there is no unambiguous ordering among them. Finally, the more competitive the bidders are, the more likely the seller is to prefer uniform pricing over price discrimination, yet increased competition among bidders may or may not enhance efficiency.
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    Learning buyers' valuation distribution in posted-price selling (1999)
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    Economic theory 14 (1999), S. 417-428 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Price determination, Posted-price selling, Learning. ; JEL Classification Numbers:C61, D42, D82, D83.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. A dynamic pricing model is studied where a seller of an asset faces a sequence of potential buyers whose valuation distribution is unknown to the seller. The seller learns more about the distribution in the selling process and becomes less optimistic as the object remains unsold. We characterize the optimal posted prices which incorporate updated beliefs every period, and derive a rather tight sufficient condition under which these prices decline over time. An example is provided where the optimal prices can actually increase over time if the condition is violated.
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    A note on asymmetric and mixed strategy equilibria in the search-theoretic model of fiat money (1999)
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    Economic theory 14 (1999), S. 463-471 
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    Keywords: Keywords and Phrases: Money Search ; Nash equilibrium. ; JEL Classification Number: C78.
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    Topics: Economics
    Notes: Summary. The simple search-theoretic model of fiat money has three symmetric Nash equilibria: all agents accept money with probability 1; all agents accept money with probability 0; and all agents accept money with probability y in (0,1). Here I construct an asymmetric pure strategy equilibrium, payoff-equivalent to the symmetric mixed strategy equilibrium, where a fraction N in (0,1) of agents always accept money and 1-N never accept money. Counter to what has been conjectured previously, I find N 〉 y. I also introduce evolutionary dynamics, and show that the economy converges to monetary exchange iff the initial proportion of agents accepting money exceeds N.
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    On Lipschitz continuity of policy functions in continuous-time optimal growth models (1999)
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    Economic theory 14 (1999), S. 479-488 
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    Keywords: Keywords and Phrases: Optimal growth Policy functions. ; JEL Classification Numbers: C61 ; O41.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. This paper proves the C 1,1 differentiability of the value function for continuous time concave dynamic optimization problems, under the assumption that the instantaneous utility is C 1,1 and the initial segment of optimal solutions is interior. From this result, the Lipschitz dependence of optimal solutions on initial data and the Lipschitz continuity of the policy function are derived, by adding an assumption of strong concavity of the integrand.
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    Efficient strategy-proof allocation functions in linear production economies (1999)
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    Economic theory 14 (1999), S. 583-595 
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    Keywords: Keywords and Phrases: Strategy-proofness, Efficiency, Linear production set. ; JEL Classification Numbers: C78, D71.
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    Topics: Economics
    Notes: Summary. In a linear production model, we characterize the class of efficient and strategy-proof allocation functions, and the class of efficient and coalition strategy-proof allocation functions. In the former class, requiring equal treatment of equals allows us to identify a unique allocation function. This function is also the unique member of the latter class which satisfies uniform treatment of uniforms.
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    On the structure of choice under different external references (1999)
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    Economic theory 14 (1999), S. 609-620 
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    Keywords: Keywords and Phrases: Choice functions, Rationalizability, External references, Norms. ; JEL Classification Numbers: D10, D80, D71.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. In this paper we fully characterize an individual's choice behaviour according to three different so–called external references. The first system which we describe axiomatically is standard utility maximization or preference optimization. The second approach characterizes the choice of the second largest element as an optimal choice, the third system is the choice of a medium element, also as a first best choice. For all three approaches, we have established a common axiomatic structure which allows us to point out rather precisely congruences and divergences among the different systems considered.
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    Nash equilibrium without mutual knowledge of rationality (1999)
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    Economic theory 14 (1999), S. 621-633 
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    Keywords: Keywords and Phrases: Nash equilibrium, Cautious equilibrium, Mutual knowledge of rationality. ; JEL Classification Numbers: C72, D81.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. In a Nash equilibrium, players' rationality is mutual knowledge. However, both intuition and experimental evidence suggest that players do not know for sure the rationality of opponents. This paper proposes a new equilibrium concept, cautious equilibrium, that generalizes Nash equilibrium in terms of preferences in two person strategic games. In a cautious equilibrium, players do not necessarily know the rationality of opponents, but they view rationality as infinitely more likely than irrationality. For suitable models of preference, cautious equilibrium predicts that a player might take a “cautious” strategy that is not a best response in any Nash equilibrium.
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    Signaling via an agenda in multi-issue bargaining with incomplete information (1999)
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    Economic theory 13 (1999), S. 561-575 
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    Keywords: Keywords and Phrases: Multi-issue bargaining ; Agenda bargaining ; Incomplete information ; Signaling. ; JEL Classification Numbers: C78 ; D82.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. While actual bargaining features many issues and decision making on the order in which issues are negotiated and resolved, the typical models of bargaining do not. Instead, they have either a single issue or many issues resolved in some fixed order, typically simultaneously. This paper shows that, when there is incomplete information, such an approach removes an important avenue for information transmission: the bargaining agenda itself. Compared to the standard model, pooling on offers by the informed is reduced and a signaling equilibrium arises when the agenda is determined endogenously. Signaling is carried out by use of an issue-by-issue bargaining agenda.
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    Bargaining with asymmetric information in non-stationary markets (1999)
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    Economic theory 13 (1999), S. 577-601 
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    Keywords: Keywords and Phrases: Non-cooperative bargaining Matching ; Asymmetric information ; Non-stationarity ; Output fluctuations. ; JEL Classification Numbers: C72 ; C78 ; E20.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. The Rubinstein and Wolinsky bargaining-in-markets framework is modified by the introduction of asymmetric information and non-stationarity. Non-stationarity is introduced in the form of an arbitrary stochastic Markov process which captures the dynamics of market entry and pairwise matching. A new technique is used for establishing existence and characterizing the unique outcome of a non-stationary market equilibrium. The impact of market supply and demand on bilateral bargaining outcomes and matching probabilities is explored. The results are useful for examining such questions as why coordination failures and macroeconomic output fluctuations are correlated with real and monetary shocks.
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    Strategy-proof allocation mechanisms for pure public goods economies when preferences are monotonic (1999)
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    Economic theory 13 (1999), S. 183-197 
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    Keywords: JEL Classification Numbers: D60 ; D70 ; H40.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. A fundamental problem in public finance is that of allocating a␣given budget to financing the provision of public goods (education, transportation, police, etc.). In this paper it is established that when␣admissible preferences are those representable by continuous and increasing utility functions, then strategy-proof allocation mechanisms whose (undominated) range contains three or more outcomes are dictatorial on the set of profiles of strictly increasing utility functions, a dense subset of the domain in the topologies commonly used in this context. If admissible utility functions are further restricted to be strictly increasing, or if mechanisms are required to be non-wasteful, then strategy-profness leads to (full) dictatorship.
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    Equilibrium interest rate and liquidity premium with transaction costs (1999)
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    Economic theory 13 (1999), S. 509-539 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Transaction costs Asset pricing ; General equilibrium ; Overlapping generations. ; JEL Classification Numbers: D51 ; G12.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. In this article we study the effects of transaction costs on asset prices. We assume an overlapping generations economy with two riskless assets. The first asset is liquid while the second asset carries proportional transaction costs. We show that agents buy the liquid asset for short-term investment and the illiquid asset for long-term investment. When transaction costs increase, the price of the liquid asset increases. The price of the illiquid asset decreases if the asset is in small supply, but may increase if the supply is large. These results have implications for the effects of transaction taxes and commission deregulation.
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    Asymmetric information in a competitive market game: Reexamining the implications of rational expectations (1999)
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    Economic theory 13 (1999), S. 603-628 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Market game Excess volatility ; Rational expectations ; Asymmetric information ; Information acquisition. ; JEL Classification Numbers: G12 ; G14 ; D84.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. We examine price formation in a simple static model with asymmetric information, an infinite number of risk neutral traders and no noise traders. Here we re-examine four results associated with rational expectations models relating to the existence of fully revealing equilibrium prices, the advantage of becoming informed, the costly acquisition of information, and the impossibility of having equilibrium prices with higher volatility than the underlying fundamentals.
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    A general model of insurance under adverse selection (1999)
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    Economic theory 14 (1999), S. 331-352 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases:Certainty equivalent, Insurance, Contracts, One-dimensional representation. ; JEL Classification Number:D82.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. This paper considers optimal insurance schemes in a principal-agent multi-dimensional environment in which two types of risk averse agents differ in both risk and attitude to risk. Risk corresponds to any pair of distribution functions (not necessarily ordered by any of the usual dominance relations) and attitudes to risk are represented by any pair of non-decreasing and concave utility functions (not necessarily ordered by risk aversion). Results obtained in one-dimensional models that considered these effects separately and under more restricted conditions, are preserved in the more general set-up, but some of the questions we study can only be posed in the more general framework. The main results obtained for optimal insurance schemes are: (i) Insurance schemes preserve the order of certainty equivalents; consequently, the latter constitute a one-dimensional representation of types. (ii) Agents with the lower certainty equivalent are assigned full insurance. Partial insurance assigned to the others may entail randomization. (iii) Partially insured positions are an increasing function of the ratios of the probabilities that the two types assign to the uninsured positions. Most of these properties are preserved when, due to competition or other reasons, the insured certainty equivalents can not be set below pre-determined levels.
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    Uncertainty and entry deterrence (1999)
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    Economic theory 14 (1999), S. 429-437 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases:Entry deterrence, Uncertainty, Capacity. ; JEL Classification Numbers:D42, D43, D24.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. We study a model where capacity installation by an incumbent firm serves to deter others from entering the industry. We argue that uncertainty about demand or costs forces the incumbent to choose a higher capacity level than it would under certainty. This higher level diminishes the attractiveness of deterrence (Proposition 1) and, therefore, the range of parameter values for which deterrence occurs (Proposition 2).
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    Fashion and wealth accumulation (1999)
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    Economic theory 14 (1999), S. 439-461 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases:Fashion, Habits, Limit cycles, Wealth accumulation. ; JEL Classification Numbers:D91, E21.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. This paper examines the influence of fashion on wealth accumulation in an economy with two groups of agents. Fashion is modelled as an externality generated by a particular dependence of individual agents' time preference on the two groups' per-capita consumption habits. It is shown that fashion causes excessive wealth fluctuations in the sense that stronger and more persistent fashion is more likely to generate limit cycles in wealth. Opposite to intuitive arguments , however, the externality in fashion does not necessarily generate instability in wealth. In a special case, equilibrium consumption and wealth are stable but the optimal ones that internalize the externality are locally unstable. Whether equilibrium consumption is excessive relative to optimal consumption depends on the distribution as well as the aggregate level of wealth.
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    Strategy-proofness versus efficiency for small domains of preferences over public goods (1999)
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    Economic theory 13 (1999), S. 709-722 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Strategyproof Public goods ; Lotteries. ; JEL Classification Numbers: C70 ; D70 ; H41.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. It has long been known that when agents have von Neumann-Morgenstern preferences over lotteries, there is an incompatibility between strategy-proofness and efficiency (Gibbard, [9]; Hylland, [12]) – a solution satisfying those properties must be dictatorial. We strengthen this result by showing that it follows from the same incompatibility on a series of much smaller domains of preferences. Specifically, we first show the incompatibility to hold on our smallest domain, in which two agents are restricted to have linear preferences over one private good and one public good produced from the private good (Kolm triangle economies). This result then implies the same incompatibility on increasingly larger domains of preferences, ending finally with the class of von Neumann-Morgenstern preferences over lotteries.
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    A general class of additively decomposable inequality measures (1999)
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    Economic theory 14 (1999), S. 89-111 
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    ISSN: 1432-0479
    Keywords: Key words and Phrases: Inequality measures, Theil measures, Variance of logarithms, Generalized entropy measures, Additive decomposability, Functional equations, Axiomatic characterization. ; JEL Classification Numbers:C43, D31, D63, O15.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. This paper presents and characterizes a two-parameter class of inequality measures that contains the generalized entropy measures, the variance of logarithms, the path independent measures of Foster and Shneyerov (1999) and several new classes of measures. The key axiom is a generalized form of additive decomposability which defines the within-group and between-group inequality terms using a generalized mean in place of the arithmetic mean. Our characterization result is proved without invoking any regularity assumption (such as continuity) on the functional form of the inequality measure; instead, it relies on a minimal form of the transfer principle – or consistency with the Lorenz criterion – over two-person distributions.
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    Corrigendum: Economic Theory 13, 345–363 (1999) (1999)
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    Economic theory 14 (1999), S. 750-750 
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    ISSN: 1432-0479
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
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    The ratchet effect and bargaining power in a two-stage model of competitive bidding (1999)
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    Economic theory 13 (1999), S. 171-181 
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    ISSN: 1432-0479
    Keywords: JEL Classification Numbers: C78 ; D44.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. In the model presented, a buyer uses competitive bidding to facilitate her purchase of a good (the primary good of the exchange). Not included in the original purchase is the possible procurement of a good related to the original purchase: the supplementary good. The primary and supplementary goods are closely related; knowing a bidder's cost of producing the primary good implies that the buyer can infer the bidder's cost of producing the supplementary good. I show that a bidding mechanism for the primary good will fail to ensure an efficient allocation if the buyer learns the bid of the winner and the price of the supplementary good is determined through sequential bargaining.
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    Quasiconcavity and the kernel of a separable utility (1999)
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    Economic theory 13 (1999), S. 221-227 
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    ISSN: 1432-0479
    Keywords: JEL Classification Number: D11.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. In this paper I prove that a quasiconcave separable utility function defined on an atomless space is concave.
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    A note on duality in consumer theory (1999)
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    Economic theory 13 (1999), S. 239-246 
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    ISSN: 1432-0479
    Keywords: JEL classification Number: D11.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. In this paper we will show that upper semicontinuity of the indirect utility function implies the upper semicontinuity of the direct utility function. By strengthening the assumptions, one can also deduce the continuity of the utility function. Based on indirect utility functions a model of consumer behavior will be established.
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    Competitive pricing of information goods: Subscription pricing versus pay-per-use (1999)
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    Economic theory 13 (1999), S. 447-470 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Competitive equilibria ; Internet pricing ; Subscription pricing ; Price wars. ; JEL Classification Numbers: C7 ; D4 ; G2.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. We investigate the existence and implications of competitive equilibria when two firms offer the same electronic goods under different pricing policies. One charges a fixed subscription fee per period; the other charges on a per-use basis. Two models are examined when firms' marginal costs are negligible and they can revise prices periodically. Both show that competition often leads to ruinous price wars in the absence of collusion. However, stable pricing equilibria exist in special cases. The findings are robust even when customers are willing to pay a fixed-subscription premium.
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    Investment coordination and demand complementarities (1999)
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    Economic theory 13 (1999), S. 495-505 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: The Big Push ; Coordination failures. ; JEL Classification Numbers: O14 ; O33 ; L13 ; L16.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. This paper establishes necessary conditions for demand complementarity to imply investment coordination failure and explores the welfare implications of coordinated investment. Our main results caution against demand complementarities as a motive for investment coordination. We find that: 1) generally, a strict notion of complementarity (Hicks) is necessary for the existence of an investment coordination problem and 2) that when the problem does exist, coordination lowers social welfare without countervailing sectoral asymmetries.
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    Exchange and optimality (1999)
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    Economic theory 13 (1999), S. 629-642 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Social states Optimality ; Exchange. ; JEL Classification Numbers: C70 ; C72 ; D60 ; D62.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. A feasible social state is irreducible if and only if, for any non-trivial partition of individuals into two groups, there exists another feasible social state at which every individual in the first group is equally well-off and someone strictly better-off. Competitive equilibria decentralize irreducible Pareto optimal social states.
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    A formal model of theory choice in science (1999)
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    Economic theory 14 (1999), S. 113-130 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Interactive discrimination ; Evolution of beliefs ; Scientific progress. ; JEL Classification Numbers: A12 ; D7.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. Since the work of Thomas Kuhn, the role of social factors in the scientific enterprise has been a major concern in the philosophy and history of science. In particular, conformity effects among scientists have been used to question whether science naturally progresses over time. Using neoclassical economic reasoning, this paper develops a formal model of scientific theory choice which incorporates social factors. Our results demonstrate that the influence of social factors on scientific progress is more complex than previously thought. The patterns of theory choice predicted by the model seem consistent with historical episodes of theory change.
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    A characterization of efficient, bayesian incentive compatible mechanisms (1999)
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    Economic theory 14 (1999), S. 155-180 
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    ISSN: 1432-0479
    Keywords: Key words:Incentive compatibility, Efficiency, Groves mechanisms, Mechanism design ; JEL Classification Numbers:C72, C78, D82
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. A mechanism that is both efficient and incentive compatible in the Bayesian-Nash sense is shown to be payoff-equivalent to a Groves mechanism at the point in time when each agent has just acquired his private information. This equivalence result simplifies the question of whether or not an efficient, Bayesian incentive compatible mechanism can satisfy other desired objectives, for the search for an appropriate mechanism can be restricted to the family of Groves mechanisms. The method is used to extend the result of Myerson and Satterthwaite on the inefficiency of bilateral bargaining to a multilateral setting.
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    Environmental sustainability, nonlinear dynamics and chaos (1999)
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    Economic theory 14 (1999), S. 489-500 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Environmental-growth models Sustainability ; Com- plex dynamics. ; JEL Classification Numbers: Q20 ; O41 ; C62.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. This paper studies the possibility of nonlinear dynamics in a simple overlapping generations model with the environment – the John-Pecchenino (1994) model. We show that if people's concerns towards greener preferences and the maintenance efficiency relative to degradation are not sufficiently high, cyclically or chaotically fluctuating equilibria are more likely to exist; moreover, under a specific condition, a complicated topological structure might emerge. Our short-run analysis complements John and Pecchenino's long-run analysis and our findings suggest that the associated transition towards an environmentally sustainable state is not trivial.
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    Optimal and competitive programs in reachable multi sector models (1999)
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    Economic theory 14 (1999), S. 565-582 
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    ISSN: 1432-0479
    Keywords: Keywords and Phrases: Competitive program, Optimality, Decentralization, Reachability. ; JEL Classification Numbers: C61, D90, O41.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. We show that in multi-sector optimal growth models, where the technology satisfies a simple reachability condition, infinite horizon programs which satisfy the competitive conditions are optimal. We provide examples of a variety of production models where the reachability condition is satisfied. An example is also provided where the reachability condition is not satisfied and there are competitive programs which are not optimal. The results of the paper are of interest from the standpoint of decentralization in intertemporal economies.
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    Connecting discrete and continuous path-dependent options (1999)
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    Finance and stochastics 3 (1999), S. 55-82 
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    ISSN: 1432-1122
    Keywords: Key words: Barrier options, lookback options, continuity corrections, trinomial trees JEL classification: G13, C63, G12 Mathematics Subject Classification (1991): 90A09, 60J15, 65N06
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract. This paper develops methods for relating the prices of discrete- and continuous-time versions of path-dependent options sensitive to extremal values of the underlying asset, including lookback, barrier, and hindsight options. The relationships take the form of correction terms that can be interpreted as shifting a barrier, a strike, or an extremal price. These correction terms enable us to use closed-form solutions for continuous option prices to approximate their discrete counterparts. We also develop discrete-time discrete-state lattice methods for determining accurate prices of discrete and continuous path-dependent options. In several cases, the lattice methods use correction terms based on the connection between discrete- and continuous-time prices which dramatically improve convergence to the accurate price.
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    Complete markets with discontinuous security price (1999)
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    Finance and stochastics 3 (1999), S. 203-214 
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    ISSN: 1432-1122
    Keywords: Key words:Market completeness, arbitrage, stochastic calculus, Azéma martingales, equivalent martingale measure, weak convergence, hedging strategies, Malliavin calculus, option pricing, Black-Scholes models, contingent claims, martingale central limit theorem JEL classification: G12, G13 Mathematics Subject Classification (1991):90A09, 60H10, 60G44, 60H07
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    Topics: Mathematics , Economics
    Notes: Abstract. A parameterized family of financial market models is presented. These models have jumps intrinsic to the price processes yet have strict completeness, equivalent martingale measures, and no arbitrage. For each value of the parameter $\beta (-2\leq\beta 〈0)$ the model is just as rich as the standard model using white noise (Brownian motion) and a drift; moreover as $\beta$ increases to zero the model converges weakly to the standard model. A hedging result, analogous to the Karatzas-Ocone-Li theorem, is also presented.
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    Optimal stopping for a diffusion with jumps (1999)
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    Finance and stochastics 3 (1999), S. 227-236 
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    ISSN: 1432-1122
    Keywords: Key words:Diffusion with jumps, optimal stopping, American options, derivative pricing JEL classification: G12 Mathematics Subject Classification (1991): 60G40
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    Topics: Mathematics , Economics
    Notes: Abstract. In this paper we give the closed form solution of some optimal stopping problems for processes derived from a diffusion with jumps. Within the possible applications, the results can be interpreted as pricing perpetual American Options under diffusion-jump information.
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    A theory of bonus in life insurance (1999)
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    Finance and stochastics 3 (1999), S. 373-390 
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    ISSN: 1432-1122
    Keywords: Key words: Safety margins, prospective reserves, retrospective reserves, stochastic interest, stochastic mortality, counting processes ; JEL Classification:G22, G23 ; Mathematics Subject Classification (1991):60J27, 62P05
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract. The issue of bonus in life insurance is considered in a model framework where the traditional set-up is extended by letting the experience basis (mortality, interest, etc.) be stochastic. A novel definition of the technical surplus on an insurance contract is proposed, and basic principles for its repayment as bonus are discussed. Making the experience basis an endogenous part of the model opens possibilities of model-based prognostication of future bonuses. Numerical illustrations are provided.
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    On the relationship of the dynamic programming approach and the contingent claim approach to asset valuation (1999)
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    Finance and stochastics 3 (1999), S. 433-449 
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    ISSN: 1432-1122
    Keywords: Key words: Dynamic programming, contingent claims, non-arbitrage, real assets ; JEL classification: E22, D46, G12, G31 ; Mathematics Subject Classification (1991):93E20, 90A09, 93E03, 90A11
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    Topics: Mathematics , Economics
    Notes: Abstract. We consider a general model for an investment producing a single commodity, and, assuming that there exists a traded asset spanning the corresponding market, we prove a “verification theorem” which relates the solution of an appropriate differential equation with the investment's contingent claim price. In this way, we show in a mathematically rigorous way that the contingent claim approach and the dynamic programming approach to the problem of asset valuation are equivalent, modulo parameter calibration. Our analysis can be used in a straightforward way to address a big number of investment models.
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    Dynamic programming and mean-variance hedging (1999)
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    Finance and stochastics 3 (1999), S. 83-110 
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    ISSN: 1432-1122
    Keywords: Key words: Hedging, incomplete markets, dynamic programming, hedging numéraire, variance-optimal martingale measure JEL classification: G11, G12. Mathematics Subject Classification (1991): 90A09, 60H30, 90C39.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract. We consider the mean-variance hedging problem when asset prices follow Itô processes in an incomplete market framework. The hedging numéraire and the variance-optimal martingale measure appear to be a key tool for characterizing the optimal hedging strategy (see Gouriéroux et al. 1996; Rheinländer and Schweizer 1996). In this paper, we study the hedging numéraire $\tilde a$ and the variance-optimal martingale measure $\tilde P$ using dynamic programming methods. We obtain new explicit characterizations of $\tilde a$ and $\tilde P$ in terms of the value function of a suitable stochastic control problem. We provide several examples illustrating our results. In particular, for stochastic volatility models, we derive an explicit form of this value function and then of the hedging numéraire and the variance-optimal martingale measure. This provides then explicit computations of optimal hedging strategies for the mean-variance hedging problem in usual stochastic volatility models.
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    Quantile hedging (1999)
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    Finance and stochastics 3 (1999), S. 251-273 
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    ISSN: 1432-1122
    Keywords: Key words:Hedging, superhedging, Neyman Pearson lemma, stochastic volatility, value at risk ; JEL classification: G10, G12, G13, D81 ; Mathematics Subject Classification (1991):60H30, 62F03, 62P05, 90A09
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract. In a complete financial market every contingent claim can be hedged perfectly. In an incomplete market it is possible to stay on the safe side by superhedging. But such strategies may require a large amount of initial capital. Here we study the question what an investor can do who is unwilling to spend that much, and who is ready to use a hedging strategy which succeeds with high probability.
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    Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark (1999)
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    Finance and stochastics 3 (1999), S. 275-294 
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    ISSN: 1432-1122
    Keywords: Key words: Portfolio theory, benchmarking, active portfolio management, constant proportions, growth optimal policy, stochastic control, diffusions ; JEL classification: G11, C73 ; Mathematics Subject Classification (1991): 90A09, 60H10, 93E20, 60G40, 60J60.5
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract. We consider the portfolio problem in continuous-time where the objective of the investor or money manager is to exceed the performance of a given stochastic benchmark, as is often the case in institutional money management. The benchmark is driven by a stochastic process that need not be perfectly correlated with the investment opportunities, and so the market is in a sense incomplete. We first solve a variety of investment problems related to the achievement of goals: for example, we find the portfolio strategy that maximizes the probability that the return of the investor's portfolio beats the return of the benchmark by a given percentage without ever going below it by another predetermined percentage. We also consider objectives related to the minimization of the expected time until the investor beats the benchmark. We show that there are two cases to consider, depending upon the relative favorability of the benchmark to the investment opportunity the investor faces. The problem of maximizing the expected discounted reward of outperforming the benchmark, as well as minimizing the discounted penalty paid upon being outperformed by the benchmark is also discussed. We then solve a more standard expected utility maximization problem which allows new connections to be made between some specific utility functions and the nonstandard goal problems treated here.
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    Applications of Malliavin calculus to Monte Carlo methods in finance (1999)
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    Finance and stochastics 3 (1999), S. 391-412 
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    ISSN: 1432-1122
    Keywords: Key words:Monte Carlo methods, Malliavin calculus, hedge ratios and Greeks ; JEL classification :G13 ; Mathematics Subject Classification (1991):60H07, 60J60, 65C05
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract. This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities) in finance. Our approach is based on the {\it integration-by-parts} formula, which lies at the core of the theory of variational stochastic calculus, as developed in the Malliavin calculus. The Greeks formulae, both with respect to initial conditions and for smooth perturbations of the local volatility, are provided for general discontinuous path-dependent payoff functionals of multidimensional diffusion processes. We illustrate the results by applying the formula to exotic European options in the framework of the Black and Scholes model. Our method is compared to the Monte Carlo finite difference approach and turns out to be very efficient in the case of discontinuous payoff functionals.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s007800050068
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