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Rational expectations in urban economics

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Author Info
Berliant, Marcus
Yu, Chia-Ming

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Abstract

Canonical analysis of the classical general equilibrium model demonstrates the existence of an open and dense subset of standard economies that possess fully-revealing rational expectations equilibria. This paper shows that the analogous result is not true in urban economies. An open subset of economies where none of the rational expectations equilibria fully reveal private information is found. There are two important pieces. First, there can be information about a location known by a consumer who does not live in that location in equilibrium, and thus the equilibrium rent does not reflect this information. Second, if a consumer’s utility depends only on information about their (endogenous) location of residence, perturbations of utility naturally do not incorporate information about other locations conditional on their location of residence. Existence of a rational expectations equilibrium is proved. Space can prevent housing prices from transmitting information from informed to uninformed households, resulting in an inefficient outcome.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 17327.

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Date of creation: 15 Sep 2009
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Handle: RePEc:pra:mprapa:17327

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Related research
Keywords: Urban Economics; General Equilibrium; Private Information; Rational Expectations;

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Find related papers by JEL classification:
R13 - Urban, Rural, and Regional Economics - - General Regional Economics - - - General Equilibrium and Welfare Economic Analysis of Regional Economies
D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information
D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies

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  1. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-78, May. [Downloadable!] (restricted)
  2. Hirshleifer, Jack, 1971. "The Private and Social Value of Information and the Reward to Inventive Activity," American Economic Review, American Economic Association, vol. 61(4), pages 561-74, September. [Downloadable!] (restricted)
  3. Jordan, J S, 1980. "On the Predictability of Economic Events," Econometrica, Econometric Society, vol. 48(4), pages 955-72, May. [Downloadable!] (restricted)
  4. Allen, Beth E, 1981. "Generic Existence of Completely Revealing Equilibria for Economies with Uncertainty when Prices Convey Information," Econometrica, Econometric Society, vol. 49(5), pages 1173-99, September. [Downloadable!] (restricted)
  5. Fujita, Masahisa & Smith, Tony E., 1987. "Existence of continuous residential land-use equilibria," Regional Science and Urban Economics, Elsevier, vol. 17(4), pages 549-594, November. [Downloadable!] (restricted)
  6. 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.
  7. Debreu, Gerard, 1972. "Smooth Preferences," Econometrica, Econometric Society, vol. 40(4), pages 603-15, July. [Downloadable!] (restricted)
  8. Beth Allen & James S. Jordan, 1998. "The existence of rational expectations equilibrium: a retrospective," Staff Report 252, Federal Reserve Bank of Minneapolis. [Downloadable!]
  9. Magill, Michael & Shafer, Wayne, 1991. "Incomplete markets," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 30, pages 1523-1614 Elsevier. [Downloadable!] (restricted)
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