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

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  • 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," Working Papers hal-01871572, HAL.
    • Handle: RePEc:hal:wpaper:hal-01871572
    Note: View the original document on HAL open archive server: https://univ-pau.hal.science/hal-01871572
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    References listed on IDEAS

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    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. 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.
    3. 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).
    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)

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