Value of Information in Competitive Economies with Incomplete Markets

Piero Gottardi and Rohit Rahi ()

No ECO2010/34, Economics Working Papers from European University Institute

Abstract: We study the value of information in a competitive economy in which agents trade in asset markets to reallocate risk. We characterize the kinds of information that allow a welfare improvement when portfolios can be freely reallocated. We then compare competitive equilibria before and after a change in information. We show that generically, if markets are sufficiently incomplete, the welfare effects are completely arbitrary: there typically exist changes in information that make all agents better off, or all agents worse off.

Keywords: Equilibrium; Incomplete Markets; Value of Information (search for similar items in EconPapers)
JEL-codes: D52 D60 D80 (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-cta
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Related works:
Journal Article: VALUE OF INFORMATION IN COMPETITIVE ECONOMIES WITH INCOMPLETE MARKETS (2014)
Working Paper: Value of information in competitive economies with incomplete markets (2010)
Working Paper: Value of Information in Competitive Economies with Incomplete Markets (2010)
Working Paper: Value of information in competitive economies with incomplete markets (2007)
Working Paper: Value of Information in Competitive Economies with Incomplete Markets (2007)
Working Paper: Value of Information in Competitive Economies with Incomplete Markets (2007)
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