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The Value of Information in Some General Equilibrium Models

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  • Eckwert, Bernhard
  • Zilcha, Itzhak

Abstract

The paper generalizes Blackwell's Theorem, according to which the welfare effects of an improvement in information are positive to a certain class of general equilibrium production economies. The consumer preferences in this class of economies exhibit either constant relative risk aversion or constant relative risk aversion or constant absolute risk aversion. We also demonstrate that the introduction of risk sharing markets may invalidate the Blackwell result.

Suggested Citation

  • Eckwert, Bernhard & Zilcha, Itzhak, 1998. "The Value of Information in Some General Equilibrium Models," Foerder Institute for Economic Research Working Papers 275634, Tel-Aviv University > Foerder Institute for Economic Research.
    • Handle: RePEc:ags:isfiwp:275634
    DOI: 10.22004/ag.econ.275634
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    References listed on IDEAS

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    1. J. Hirshleifer, 1975. "Speculation and Equilibrium: Information, Risk, and Markets," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 89(4), pages 519-542.
    2. Green, Jerry R, 1981. "Value of Information with Sequential Futures Markets," Econometrica, Econometric Society, vol. 49(2), pages 335-358, March.
    3. Sulganik, Eyal & Zilcha, Itzhak, 1997. "The value of information: The case of signal-dependent opportunity sets," Journal of Economic Dynamics and Control, Elsevier, vol. 21(10), pages 1615-1625, August.
    4. Edward E. Schlee, 1996. "The Value of Information About Product Quality," RAND Journal of Economics, The RAND Corporation, vol. 27(4), pages 803-815, Winter.
    5. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
    6. Orosel, Gerhard O., 1996. "Informational efficiency and welfare in the stock market," European Economic Review, Elsevier, vol. 40(7), pages 1379-1411, August.
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    Cited by:

    1. Eckwert, Bernhard & Zilcha, Itzhak, 2001. "The Value of Information in Production Economies," Journal of Economic Theory, Elsevier, vol. 100(1), pages 172-186, September.

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