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Partially revealing rational expectations equilibrium with real assets and binding constraints

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  • Michael Zierhut

    (Vienna Graduate School of Finance)

Abstract

This paper studies partially revealing rational expectations equilibria. In a setting with a finite state space and a competitive market for real assets, there exists an open set of economies with such equilibria. They arise when informed agents have corner solutions. When partially revealing and fully revealing equilibria coexist, all Pareto constellations are possible: The partially revealing may Pareto dominate the fully revealing, the fully revealing may Pareto dominate the partially revealing, or the two cannot be Pareto ranked.

Suggested Citation

  • Michael Zierhut, 2016. "Partially revealing rational expectations equilibrium with real assets and binding constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(3), pages 495-516, August.
    • Handle: RePEc:spr:joecth:v:62:y:2016:i:3:d:10.1007_s00199-015-0910-y
    DOI: 10.1007/s00199-015-0910-y
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    More about this item

    Keywords

    Differential information economy; Rational expectations equilibrium; Trading constraints; Partial revelation of information;
    All these keywords.

    JEL classification:

    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design

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