Endogenous differential information

Sebastián Cea, Carlos Hervés-Beloso and Juan Pablo Torres-Martinez

Economic Theory, 2017, vol. 63, issue 1, No 2, 72 pages

Abstract: Abstract We include endogenous differential information in a model with sequential trade and incomplete financial participation. Agents update information through market signals given by commodity prices and asset deliveries. Information acts over admissible strategies and consumption tastes, allowing discontinuities in preferences and choice sets. Therefore, equilibrium may cease to exist. However, internalizing the compatibility between information and consumption through preferences, and without requiring either financial survival assumptions or fully revealing prices, equilibrium existence can be ensured.

Keywords: Endogenous differential information; Restricted participation; Rational expectations equilibrium; Incomplete markets (search for similar items in EconPapers)
JEL-codes: D52 D53 D82 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s00199-015-0924-5

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