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Ambiguity and rational expectations equilibria

Author

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  • 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.

Suggested Citation

  • Jayant V Ganguli & Scott Condie, 2008. "Ambiguity and rational expectations equilibria," 2008 Meeting Papers 719, Society for Economic Dynamics.
    • Handle: RePEc:red:sed008:719
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    References listed on IDEAS

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