Partially revealing rational expectations equilibrium with real assets and binding constraints

Michael Zierhut ()
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Michael Zierhut: Vienna Graduate School of Finance

Economic Theory, 2016, vol. 62, issue 3, No 4, 495-516

Abstract: Abstract This paper studies partially revealing rational expectations equilibria. In a setting with a finite state space and a competitive market for real assets, there exists an open set of economies with such equilibria. They arise when informed agents have corner solutions. When partially revealing and fully revealing equilibria coexist, all Pareto constellations are possible: The partially revealing may Pareto dominate the fully revealing, the fully revealing may Pareto dominate the partially revealing, or the two cannot be Pareto ranked.

Keywords: Differential information economy; Rational expectations equilibrium; Trading constraints; Partial revelation of information (search for similar items in EconPapers)
JEL-codes: D52 D53 D82 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s00199-015-0910-y

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