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Competitive equilibrium with asymmetric information: an existence theorem for numeraire assets

Author

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  • Lionel de Boisdeffre

    (CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

In a general equilibrium model of incomplete markets with nominal assets and adverse selection, Cornet-De Boisdeffre (3) introduced refined concepts of "no-arbitrage" prices and equilibria, which extended to the asymmetric information. We now present the model with numeraire assets and study its existence properties. We show that equilibrium exists, as long as financial markets preclude arbitrage, under similar standard conditions, whether agents have symmetric or asymmetric information. This result departs from the rational expectations' outcome and extends to the asymmetric setting the classical existence property of symmetric information models with numeraire assets.

Suggested Citation

  • Lionel de Boisdeffre, 2005. "Competitive equilibrium with asymmetric information: an existence theorem for numeraire assets," Post-Print halshs-00196365, HAL.
    • Handle: RePEc:hal:journl:halshs-00196365
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00196365
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