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Ambiguity and rational expectations equilibria

Jayant Ganguli and Scott Condie
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Scott Condie: Brigham Young University

No 719, 2008 Meeting Papers from Society for Economic Dynamics

Abstract: This paper proves the existence and robustness of partially-revealing rational expectations equilibria (REE) when this equilibrium concept is expanded to allow for some agents to have preferences that display ambiguity aversion. Furthermore, the generic existence of fully- revealing REE is proven for a commonly-used subset of the class of ambiguity averse preferences. This finding illustrates that models with ambiguity aversion provide a relatively tractable framework through which partial information revelation may be studied in a general equilibrium setting without relying on particular distributional assumptions or the presence of noise traders. Constructive examples are also provided.

Date: 2008
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Journal Article: Ambiguity and Rational Expectations Equilibria (2011) Downloads
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