Existence and regularity of partially revealing rational expectations equilibrium in finite economies

Alessandro Citanna () and Antonio Villanacci
Additional contact information
Alessandro Citanna: GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: We consider an incomplete financial market exchange economy with nominal assets and a finite number of traders, goods, states and signals. In this framework, we prove the existence and regularity of rational expectations equilibria for any informational structure derived from prices. We provide a proof that completes the characterization of existence of equilibrium in these economies, in the following sense: while Polemarchakis and Siconolfi [Polemarchakis, H., Siconolfi, P., 1993. Asset markets and the information revealed by prices. Economic Theory, Vol. 3, pp. 645–661.] show existence only of fully nonrevealing equilibrium, and Rahi [Rahi, R., 1995. Partially revealing rational expectations equilibria with nominal assets. Journal of Mathematical Economics, Vol. 24, pp. 137–146.] finds partially revealing equilibria for all economies satisfying a restrictive condition on the traders' equilibrium information structure, we dispense with Rahi's condition, and offer a strategy of proof that applies directly to all cases of revelation. Our proof of existence is based on homotopy methods. Given the way we construct our proof, we can easily link the asymmetric information model to the linear restricted participation models. We show how to apply the "Cass trick" in asymmetric information economies to control for asset prices, even if all agents are restricted, that is, partially informed.

Keywords: Proof of existence; Equilibrium; Finite economies (search for similar items in EconPapers)
Date: 2000-08-01
References: Add references at CitEc
Citations: View citations in EconPapers (9)

Published in Journal of Mathematical Economics, 2000, Vol.34,n°1, pp.1-26. ⟨10.1016/S0304-4068(99)00042-7⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00463207

DOI: 10.1016/S0304-4068(99)00042-7

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().