 Existence and Regularity of Partially Revealing Rational Expectations Equilibrium in Finite EconomiesCitanna Alessandro and Villanacci Antonio No 681, HEC Research Papers Series from HEC Paris Abstract: We consider an incomplete financial market exchange economy with nominal assets and finite number of traders, goods, states and signals. In this framework, we prove existence and regularity of rational expectations equilibria for any informational structure derived from prices. We provide a proof that completes the characterization of existence of equilibrium in these economies. While Polemarchakis and Siconolfi (1993) show existence only of fully nonrevealing equilibrium, and Rahi (1995) finds partially revealing equilibria for all economies satisfying a restrictive condition on the traders' equilibrium information structure, we dispense with Rahi's condition and offer a strategy of proof that applies directly to all cases of revelation. Our proof of existence is based on homotopy methods. Given the way we construct our proof, we can easily link the asymmetric information model to the linear restricted participation models. We show how to apply the Cass trick in asymmetric information economies to control for asset prices, even if all agents are restricted, that is, partially informed. Keywords: asymmetric information; rational expectations equilibrium; incomplete markets (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ebg:heccah:0681 Access Statistics for this paper More papers in HEC Research Papers Series from HEC Paris HEC Paris, 78351 Jouy-en-Josas cedex, France. Contact information at EDIRC. |
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