On the uniqueness of fully informative rational expectations equilibria Export

@article{demski99, abstract = {Summary.\ \  This paper analyzes two equivalent equilibrium notions under asymmetric information: risk neutral rational expectations equilibria (rn-REE), and common knowledge equilibria. We show that the set of fully informative rn-REE is a singleton, and we provide necessary and sufficient conditions for the existence of partially informative rn-REE. In a companion paper (DeMarzo and Skiadas (1996)) we show that equilibrium prices for the larger class of quasi-complete economies can be characterized as rn-REE. Examples of quasi-complete economies include the type of economies for which demand aggregation in the sense of Gorman is possible (with or without asymmetric information), the setting of the Milgrom and Stokey no-trade theorem, an economy giving rise to the CAPM with asymmetric information but no normality assumptions, the simple exponential-normal model of Grossman (1976), and a case of no aggregate endowment risk. In the common-knowledge context, we provide necessary and sufficient conditions for a common knowledge posterior estimate, given common priors, to coincide with the full communication posterior estimate.}, author = {Demarzo, Peter and Skiadas, Costis}, citeulike-article-id = {5630182}, citeulike-linkout-0 = {http://dx.doi.org/10.1007/s001990050240}, citeulike-linkout-1 = {http://www.springerlink.com/content/nhcj0vyp5uu1573r}, day = {18}, doi = {10.1007/s001990050240}, journal = {Economic Theory}, keywords = {information, rational-expectations, separability}, month = {January}, number = {1}, pages = {1--24}, posted-at = {2009-08-24 10:22:28}, priority = {3}, title = {On the uniqueness of fully informative rational expectations equilibria}, url = {http://dx.doi.org/10.1007/s001990050240}, volume = {13}, year = {1999} }

TY - JOUR ID - demski99 L3 - citeulike-article-id:5630182 N2 - Summary.   This paper analyzes two equivalent equilibrium notions under asymmetric information: risk neutral rational expectations equilibria (rn-REE), and common knowledge equilibria. We show that the set of fully informative rn-REE is a singleton, and we provide necessary and sufficient conditions for the existence of partially informative rn-REE. In a companion paper (DeMarzo and Skiadas (1996)) we show that equilibrium prices for the larger class of quasi-complete economies can be characterized as rn-REE. Examples of quasi-complete economies include the type of economies for which demand aggregation in the sense of Gorman is possible (with or without asymmetric information), the setting of the Milgrom and Stokey no-trade theorem, an economy giving rise to the CAPM with asymmetric information but no normality assumptions, the simple exponential-normal model of Grossman (1976), and a case of no aggregate endowment risk. In the common-knowledge context, we provide necessary and sufficient conditions for a common knowledge posterior estimate, given common priors, to coincide with the full communication posterior estimate. IS - 1 JF - Economic Theory EP - 24 TI - On the uniqueness of fully informative rational expectations equilibria VL - 13 SP - 1 KW - information KW - rational-expectations KW - separability AU - Demarzo, Peter AU - Skiadas, Costis PY - 1999/01/18/ UR - http://dx.doi.org/10.1007/s001990050240 ER -