We consider a class of stochastic mathematical programs with complementarity constraints, in which both the objective and the constraints involve limit functions or expectations that need to be estimated or approximated.Such programs can be used for modeling average or steady-state behavior of...

In contrast to the neo-classical theory of Arrow and Debreu, a model of a private ownership economy is presented, in which production and consumption bundles are treated separately. Each of the two types of bundles is assumed to establish a con- vex cone. Production technologies can convert...

We study a simple general equilibrium model in which investment in a risky technology is subject to moral hazard and banks can extract market power rents. We show that more bank competition results in lower economy-wide risk, lower bank capital ratios, more efficient production plans and...

This paper discusses the joint estimation of the long run equilibrium coe cients and the parameters governing the short run dynamics of a fully parametric cointegrated system formulated in continuous time.The model allows the stationary disturbances to be generated by a stochastic di erential...

We investigate the equilibria of game theoretic models of network formation that are based on individual actions only.Our approach is grounded in three simple and realistic principles: (1) Link formation should be a binary process of consent.(2) Link formation should be costly.(3) The class of...

In this paper we study the constrained efficiency of a stock market equilibrium under moral hazard.We extend a standard general equilbrium framework (Magill and Quinzii (1999) and (2002)) to allow for a more general initial ownership distribution.We show that the market allocation is constrained...

We consider game theoretic models of social network formation.In this paper we limit our investigation to game theoretic models of network formation that are based on individual actions only.Our approach is based on three simple and realistic principles: (1) Link formation is a binary process of...