IDEAS home Printed from https://ideas.repec.org/p/hal/cesptp/hal-01871572.html
   My bibliography  Save this paper

Competitive Equilibrium with Asymmetric Information: an Existence Theorem for Numeraire Assets

Author

Listed:
  • Lionel De Boisdeffre

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, CATT - Centre d'Analyse Théorique et de Traitement des données économiques - UPPA - Université de Pau et des Pays de l'Adour)

Abstract

In [2], we had extended the classical concepts and arbitrage theory of symmetric information, to an asymmetric information model, which dropped Radner?s (1979) rational expectations' ?assumption. In [3], we showed how agents could infer enough information, in this model, to rule out arbitrage from markets. In [4], we extended to that model Cass?(1984) classical existence Theorem for nominal assets. Namely, we showed that existence of equilibrium was characterized by the generalized no-arbitrage condition introduced in [2], whether agents had symmetric or asymmetric information. We now display the same characteristic property for numeraire asset markets, and, thus, extend Geanakoplos-Polemarchakis?(1986) existence Theorem to the asymmetric information setting. Contrasting with Radner?s, these results show that symmetric and asymmetric information economies can be embedded into a common general equilibrium model, where they share similar properties.

Suggested Citation

  • Lionel De Boisdeffre, 2015. "Competitive Equilibrium with Asymmetric Information: an Existence Theorem for Numeraire Assets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01871572, HAL.
    • Handle: RePEc:hal:cesptp:hal-01871572
    Note: View the original document on HAL open archive server: https://univ-pau.hal.science/hal-01871572
    as

    Download full text from publisher

    File URL: https://univ-pau.hal.science/hal-01871572/document
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Bernard Cornet & Lionel Boisdeffre, 2009. "Elimination of arbitrage states in asymmetric information models," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 38(2), pages 287-293, February.
    2. Geanakoplos, J. & Polemarchakis, H., 1985. "Existence,regularity, and constrained suboptimality of competitive allocations when the asset market is incomplete," LIDAM Discussion Papers CORE 1985037, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Bernard Cornet & Lionel Boisdeffre, 2009. "Elimination of arbitrage states in asymmetric information models," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 38(2), pages 287-293, February.
    4. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-678, May.
    5. Cornet, Bernard & De Boisdeffre, Lionel, 2002. "Arbitrage and price revelation with asymmetric information and incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 38(4), pages 393-410, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lionel DE BOISDEFFRE, 2015. "Existence of financial equilibrium with differential information: the no-arbitrage characterization," Working Papers 2015-2016_5, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Nov 2015.
    2. Lionel De Boisdeffre, 2015. "Existence of financial equilibrium with differential information: the no-arbitrage characterization," Working Papers hal-02945462, HAL.
    3. Lionel de Boisdeffre, 2021. "Dropping the Cass Trick and Extending Cass' Theorem to Asymmetric Information and Restricted Participation," Post-Print halshs-03196923, HAL.
    4. Lionel De Boisdeffre, 2015. "Competitive Equilibrium with Asymmetric Information: an Existence Theorem for Numeraire Assets," Working Papers hal-01871572, HAL.
    5. Lionel de Boisdeffre, 2015. "Price revelation and existence of financial equilibrium with incomplete markets and private beliefs," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01164142, HAL.
    6. Lionel de Boisdeffre, 2021. "Dropping the Cass Trick and Extending Cass' Theorem to Asymmetric Information and Restricted Participation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03196923, HAL.
    7. Lionel de Boisdeffre, 2016. "Existence of financial equilibrium with differential information: the no-arbitrage characterization," Post-Print halshs-01310860, HAL.
    8. Lionel de Boisdeffre, 2016. "Existence of financial equilibrium with differential information: the no-arbitrage characterization," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01310860, HAL.
    9. Lionel De Boisdeffre, 2016. "Existence of financial equilibrium with differential information: the no-arbitrage characterization," Documents de travail du Centre d'Economie de la Sorbonne 16025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    10. Lionel de Boisdeffre, 2015. "Price revelation and existence of financial equilibrium with incomplete markets and private beliefs," Post-Print halshs-01164142, HAL.
    11. Lionel De Boisdeffre, 2015. "Price revelation and existence of financial equilibrium with incomplete markets and private beliefs," Working Papers hal-02943034, HAL.
    12. Lionel de Boisdeffre, 2018. "Sequential equilibrium without rational expectations of prices: A theorem of full existence," Post-Print halshs-01593567, HAL.
    13. Lionel de Boisdeffre, 2013. "Price revelation and existence of equilibrium in a private belief economy," Post-Print halshs-01053471, HAL.
    14. Lionel DE BOISDEFFRE, 2015. "Learning from arbitrage," Working Papers 2015-2016_2, CATT - UPPA - Université de Pau et des Pays de l'Adour, revised Sep 2015.
    15. de Boisdeffre, Lionel, 2022. "Dropping rational expectations," Mathematical Social Sciences, Elsevier, vol. 115(C), pages 37-46.
    16. Lionel de Boisde¤re, 2021. "Equilibrium in incomplete markets with differential information: A basic model of generic existence," Post-Print halshs-03196857, HAL.
    17. Lionel De Boisdeffre, 2015. "Price revelation and existence of financial equilibrium with incomplete markets and private beliefs," Working papers of CATT hal-02943034, HAL.
    18. Bernard Cornet & Ramu Gopalan, 2010. "Arbitrage and equilibrium with portfolio constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 227-252, October.
    19. Lionel de Boisdeffre, 2017. "Sequential equilibrium without rational expectations of prices: A theorem of full existence," Documents de travail du Centre d'Economie de la Sorbonne 17036, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    20. Lionel De Boisdeffre, 2018. "Equilibrium with Differential Information and Exogenous Beliefs: A Basic Model of Full Existence," Working papers of CATT hal-02141059, HAL.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:cesptp:hal-01871572. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.