General competitive analysis is extended to cover a dynamic, pure-exchange economy with privately observed shocks to preferences. In the linear, infinite-dimensional space containing lotteries we establish the existence of optima, the existence of competitive equilibria, and that every competitive equilibrium is an optimum. An example illustrates that rationing and securities with contrived risk have an equilibrium interpretation.
- On competitive theory with private information / Edward C. Prescott, Robert M. Townsend.
- Federal Reserve Bank of Minneapolis. Research Division.
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