A Large-Market Rational Expectations Equilibrium Model

Xavier Vives

No 3485, CESifo Working Paper Series from CESifo

Abstract: This paper presents a market with asymmetric information where a privately revealing equilibrium obtains in a competitive framework and where incentives to acquire information are preserved. The equilibrium is efficient, and the paradoxes associated with fully revealing rational expectations equilibria are precluded without resorting to noise traders. The model admits a reinterpretation in which behavioral traders coexist with rational traders, and it allows us to characterize the amount of induced mispricing.

Keywords: adverse selection; information acquisition; double auction; multi-unit auctions; rate of convergence; behavioural traders; complementarities (search for similar items in EconPapers)
JEL-codes: D82 D84 G14 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: A Large-Market Rational Expectations Equilibrium Model (2011)
Working Paper: A large-market rational expectations equilibrium model (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_3485

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