An imperfectly competitive economy is very prone to market uncertainty, including uncertainty about the liquidity (or “thickness”) of markets. We show, in particular, that there exist stochastic equilibrium outcomes in nonstochastic market games if (and only if) the endowments are not Pareto optimal. We also provide a link between extrinsic uncertainty arising in games (e.g. correlated equilibria) and extrinsic uncertainty in market economies (e.g. sunspot equilibria). A correlated equilibria to the market game is either a sunspot equilibrium or a non-sunspot equilibrium to the related securities games, but the converse is not true in general.

We investigate the structure of competitive equilibria in an exchange economy parametrized by (i) endowments and (ii) restrictions on market participation. For arbitrary regular endowments, if few consumers are restricted, there are no sunspot equilibria. If endowments are allowed to vary, while restrictions on market participation are fixed, there is a generic set of preferences such that sunspot equilibria exist for a non-empty subset of endowments. Our analysis extends to the general case of an arbitrary number of restricted consumers the results of Cass and Shell for the polar cases in which either (i) no consumers are restricted or (ii) all consumers are restricted.