Asset Markets and the Information Revealed by Prices

H M Polemarchakis and P Siconolfi

Economic Theory, 1993, vol. 3, issue 4, 645-61

Abstract: When nominal assets serve to transfer revenues across states of the world, noninformative rational expectations equilibria exist. At noninformative prices, the restricted information under which individuals optimize can be modelled as restricted participation of the individuals in asset markets. When assets are nominal, the indeterminacy of equilibrium prices, and, generically, allocations as well, which characterizes economies with restricted participation guarantees that noninformative equilibrium prices exist.

Date: 1993
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Working Paper: Asset markets and the information revealed by prices (1991)
Working Paper: Asset markets and the information revealed by prices
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