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General equilibrium with producers and brokers : Existence and regularity

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  • Jouini, Elyes
  • Kallal, Hedi

Abstract

In this paper we prove the existence of general equilibrium with transaction costs generalizing Hahn's (Review of Economic Studies, 1973, 40, 449-461) model by introducing producers and nonconvexities (in particular we allow for increasing returns in transaction sets). We also recover any exchange economy as a special case and this allows us to analyze the effects of small frictions on bid-ask prices, consumption vectors and utilities. We prove that, generically, the induced perturbations are of the same order as the frictions.
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  • Jouini, Elyes & Kallal, Hedi, 1993. "General equilibrium with producers and brokers : Existence and regularity," Economics Letters, Elsevier, vol. 41(3), pages 257-263.
    • Handle: RePEc:eee:ecolet:v:41:y:1993:i:3:p:257-263
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    Cited by:

    1. Guangzhen Sun & Xiaokai Yang & Shuntian Yao, 1999. "Theoretical Foundation of Economic Development Based on Networking Decisions in the Competitive Market," CID Working Papers 16, Center for International Development at Harvard University.
    2. Hara, Chiaki, 2000. "Transaction costs and a redundant security: divergence of individual and social relevance1," Journal of Mathematical Economics, Elsevier, vol. 33(4), pages 497-530, May.
    3. Mattias Jonsson & Jussi Keppo, 2002. "Option pricing for large agents," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(4), pages 261-272.

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