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Ambiguity and Rational Expectations Equilibria

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  • Scott Condie
  • Jayant V. Ganguli

Abstract

This paper demonstrates the existence and robustness of partially revealing rational expectations equilibria in general exchange economies when some traders have non-smooth ambiguity-averse preferences. This finding illustrates that models with non-smooth 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 or von Neumann--Morgenstern utility assumptions or the presence of "noise." Copyright 2011, Oxford University Press.

Suggested Citation

  • Scott Condie & Jayant V. Ganguli, 2011. "Ambiguity and Rational Expectations Equilibria," Review of Economic Studies, Oxford University Press, vol. 78(3), pages 821-845.
  • Handle: RePEc:oup:restud:v:78:y:2011:i:3:p:821-845
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    File URL: http://hdl.handle.net/10.1093/restud/rdq032
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