If a stochastically monotone aggregate of asymmetrically informed individuals' expectations of a random variable is common information, then the aggregate must be a sufficient statistic, and all the individuals must have the same relevant information and agree on their expectations. If a monotone (but not stochastically monotone) aggregate is common information, then no individual has private relevant information. If a stochastically monotone aggregate is communicated back and forth, then the individuals agree eventually. These results hold not only when information is given by partitions but quite generally when it is given by tribes (sigma-algebras). For example, agents may observe signals that are normally distributed. The main result is illustrated by applications to two models of rational expectations equilibrium and informational market efficiency.
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Paper provided by University of Copenhagen. Department of Economics in its series Discussion Papers with number
88-09.
Length: 25 pages Date of creation: Jun 1988 Date of revision: Handle: RePEc:kud:kuiedp:8809
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