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Endogenous Information: The Role of Sequential Trade and Financial Participation

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  • Sebastián Cea-Echenique
  • Carlos Hervés-Beloso
  • Juan Pablo Torres-Martínez

Abstract

We develop a general equilibrium model with differential information and incomplete financial participation. Agents endogenously update information from commodity prices and financial contracts. Without require financial survival assumptions, we prove equilibrium existence in a model where the heterogeneity of preferences across states of nature may depends on available information.

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Bibliographic Info

Paper provided by University of Chile, Department of Economics in its series Working Papers with number wp361.

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Length: 18 pages
Date of creation: Sep 2012
Date of revision:
Handle: RePEc:udc:wpaper:wp361

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Web page: http://www.econ.uchile.cl/
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  2. Zaier Aouani & Bernard Cornet, 2009. "Existence of financial equilibria with restricted participation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00426441, HAL.
  3. Correia-da-Silva, João & Hervés-Beloso, Carlos, 2008. "Subjective expectations equilibrium in economies with uncertain delivery," Journal of Mathematical Economics, Elsevier, vol. 44(7-8), pages 641-650, July.
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  8. Hart, Oliver D., 1975. "On the optimality of equilibrium when the market structure is incomplete," Journal of Economic Theory, Elsevier, vol. 11(3), pages 418-443, December.
  9. Cass, David & Siconolfi, Paolo & Villanacci, Antonio, 2001. "Generic regularity of competitive equilibria with restricted participation," Journal of Mathematical Economics, Elsevier, vol. 36(1), pages 61-76, September.
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  12. Greenberg, Joseph & Shitovitz, Benyamin & Wieczorek, Andrzej, 1979. "Existence of equilibria in atomless production economies with price dependent preferences," Journal of Mathematical Economics, Elsevier, vol. 6(1), pages 31-41, March.
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  14. Joao Correia-da-Silva & Carlos Hervés-Beloso, 2006. "Prudent Expectations Equilibrium in Economies with Uncertain Delivery," FEP Working Papers 216, Universidade do Porto, Faculdade de Economia do Porto.
  15. John Geanakoplos, 1997. "An Introduction to General Equilibrium with Incomplete Asset Markets," Levine's Working Paper Archive 1115, David K. Levine.
  16. Pollak, Robert A, 1977. "Price Dependent Preferences," American Economic Review, American Economic Association, vol. 67(2), pages 64-75, March.
  17. Polemarchakis, H. M. & Siconolfi, P., 1997. "Generic existence of competitive equilibria with restricted participation," Journal of Mathematical Economics, Elsevier, vol. 28(3), pages 289-311, October.
  18. Rahi,Rohit, 1992. "Partially revealing rational expectations equilibria with nominal assets," Discussion Paper Serie A 387, University of Bonn, Germany.
  19. Aouani, Zaier & Cornet, Bernard, 2011. "Reduced equivalent form of a financial structure," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 318-327.
  20. Radner, Roy, 1972. "Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets," Econometrica, Econometric Society, vol. 40(2), pages 289-303, March.
  21. Seghir, Abdelkrim & Torres-Martínez, Juan Pablo, 2011. "On equilibrium existence with endogenous restricted financial participation," Journal of Mathematical Economics, Elsevier, vol. 47(1), pages 37-42, January.
  22. Carosi, Laura & Gori, Michele & Villanacci, Antonio, 2009. "Endogenous restricted participation in general financial equilibrium," Journal of Mathematical Economics, Elsevier, vol. 45(12), pages 787-806, December.
  23. Cornet, Bernard & De Boisdeffre, Lionel, 2002. "Arbitrage and price revelation with asymmetric information and incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 38(4), pages 393-410, December.
  24. Noguchi, Mitsunori, 2009. "Price-dependent consumption externalities and non-existence of equilibria," Journal of Mathematical Economics, Elsevier, vol. 45(3-4), pages 205-211, March.
  25. Geanakoplos, John, 1990. "An introduction to general equilibrium with incomplete asset markets," Journal of Mathematical Economics, Elsevier, vol. 19(1-2), pages 1-38.
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