Advanced Search
MyIDEAS: Login to save this paper or follow this series

Ambiguity and rational expectations equilibria

Contents:

Author Info

  • Jayant V Ganguli

    (Cornell University)

  • Scott Condie

    (Brigham Young University)

Abstract

This paper proves the existence and robustness of partially-revealing rational expectations equilibria (REE) when this equilibrium concept is expanded to allow for some agents to have preferences that display ambiguity aversion. Furthermore, the generic existence of fully- revealing REE is proven for a commonly-used subset of the class of ambiguity averse preferences. This finding illustrates that models with ambiguity aversion provide a relatively tractable framework through which partial information revelation may be studied in a general equilibrium setting without relying on particular distributional assumptions or the presence of noise traders. Constructive examples are also provided.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.economicdynamics.org/meetpapers/2008/paper_719.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Society for Economic Dynamics in its series 2008 Meeting Papers with number 719.

as in new window
Length:
Date of creation: 2008
Date of revision:
Handle: RePEc:red:sed008:719

Contact details of provider:
Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
Fax: 1-314-444-8731
Email:
Web page: http://www.EconomicDynamics.org/society.htm
More information through EDIRC

Related research

Keywords:

Other versions of this item:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Rahi, Rohit, 1995. "Partially revealing rational expectations equilibria with nominal assets," Journal of Mathematical Economics, Elsevier, vol. 24(2), pages 137-146.
  2. Rigotti, Luca & Shannon, Chris, 2012. "Sharing risk and ambiguity," Journal of Economic Theory, Elsevier, Elsevier, vol. 147(5), pages 2028-2039.
  3. Polemarchakis, H M & Siconolfi, P, 1993. "Asset Markets and the Information Revealed by Prices," Economic Theory, Springer, Springer, vol. 3(4), pages 645-61, October.
  4. Pietra, Tito & Siconolfi, Paolo, 1997. "Extrinsic Uncertainty and the Informational Role of Prices," Journal of Economic Theory, Elsevier, Elsevier, vol. 77(1), pages 154-180, November.
  5. Mas-Colell, Andreu & Whinston, Michael D. & Green, Jerry R., 1995. "Microeconomic Theory," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780195102680, October.
  6. Han Ozsoylev & Jan Werner, 2011. "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer, Springer, vol. 48(2), pages 469-491, October.
  7. Tallon, Jean-Marc, 1998. "Asymmetric Information, Nonadditive Expected Utility, and the Information Revealed by Prices: An Example," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(2), pages 329-42, May.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Nizar Allouch, 2009. "A Competitive Equilibrium for a Warm Glow Economy," Working Papers, Queen Mary, University of London, School of Economics and Finance 641, Queen Mary, University of London, School of Economics and Finance.
  2. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Springer, Springer, vol. 48(2), pages 229-242, October.
  3. Luciano De Castro & Marialaura Pesce & Nicolas Yannelis, 2011. "Core and Equilibria under ambiguity," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1534, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  4. Jack Stecher & Radhika Lunawat & Kira Pronin & John Dickhaut, 2007. "Decision Making and Trade without Probabilities," CIRANO Working Papers, CIRANO 2007s-21, CIRANO.
  5. Jayant V. Ganguli & Scott Condie, 2009. "The dynamics of partially-revealing rational expectations equilibria," 2009 Meeting Papers, Society for Economic Dynamics 1122, Society for Economic Dynamics.
  6. : Kostas Koufopoulos & : Roman Kozhan, 2012. "Optimal Insurance under Advserse Selection and Ambiguity Aversion," Working Papers, Warwick Business School, Finance Group wpn12-07, Warwick Business School, Finance Group.
  7. Jayant Ganguli & Scott Condie, 2012. "The pricing effects of ambiguous private information," Economics Discussion Papers, University of Essex, Department of Economics 720, University of Essex, Department of Economics.
  8. Han Ozsoylev & Jan Werner, 2011. "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer, Springer, vol. 48(2), pages 469-491, October.
  9. Robert Nau, 2011. "Risk, ambiguity, and state-preference theory," Economic Theory, Springer, Springer, vol. 48(2), pages 437-467, October.
  10. Jayant Ganguli & Scott Condie & Philipp Karl Illeditsch, 2012. "Information Inertia," Economics Discussion Papers, University of Essex, Department of Economics 719, University of Essex, Department of Economics.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:red:sed008:719. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.