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Incomplete markets, allocative efficiency and the information revealed by prices

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  • Alessandro Citanna
  • Antonio Villanacci

Abstract

In this paper we compare rational expectations equilibria with different degrees of information revelation through prices. These equilibria arise in a two-period exchange economy with finitely many states and signals, multiple commodities and incomplete f

Suggested Citation

  • Alessandro Citanna & Antonio Villanacci, "undated". "Incomplete markets, allocative efficiency and the information revealed by prices," GSIA Working Papers 10, Carnegie Mellon University, Tepper School of Business.
    • Handle: RePEc:cmu:gsiawp:10
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    2. Banerjee, Anurag N. & Seccia, Giulio, 2002. "On the "Hirshleifer effect'' of unscheduled monetary policy announcements," Discussion Paper Series In Economics And Econometrics 213, Economics Division, School of Social Sciences, University of Southampton.
    3. Luciano I. Castro & Marialaura Pesce & Nicholas C. Yannelis, 2020. "A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility," Annals of Finance, Springer, vol. 16(1), pages 1-61, March.
    4. Broll, Udo & Eckwert, Bernhard & Eickhoff, Andreas, 2012. "Financial intermediation and endogenous risk in the banking sector," Economic Modelling, Elsevier, vol. 29(5), pages 1618-1622.
    5. Drees, Burkhard & Eckwert, Bernhard, 2010. "Implications of more precise information for technological development and economic welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 266-279, February.
    6. Krebs, Tom, 2005. "Fundamentals, information, and international capital flows: A welfare analysis," European Economic Review, Elsevier, vol. 49(3), pages 579-598, April.
    7. Michael Zierhut, 2016. "Partially revealing rational expectations equilibrium with real assets and binding constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(3), pages 495-516, August.
    8. David Andolfatto & Fernando Martin, 2013. "Information Disclosure and Exchange Media," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(3), pages 527-539, July.
    9. Banerjee, Anurag N. & Seccia, Giulio, 2002. "On the "Hirshleifer effect'' of unscheduled monetary policy announcements," Discussion Paper Series In Economics And Econometrics 0213, Economics Division, School of Social Sciences, University of Southampton.
    10. Broll, Udo & Eckwert, Bernhard & Eickhoff, Andreas, 2011. "Transparency in the banking sector," Dresden Discussion Paper Series in Economics 05/11, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
    11. Lionel de Boisdeffre, 2025. "Equilibrium with asymmetric information and restricted participation: The no-arbritrage characterization," Documents de travail du Centre d'Economie de la Sorbonne 25014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    12. Andolfatto, David & Berentsen, Aleksander & Waller, Christopher, 2014. "Optimal disclosure policy and undue diligence," Journal of Economic Theory, Elsevier, vol. 149(C), pages 128-152.
    13. Udo Broll & Bernhard Eckwert & Kit Pong Wong, 2014. "Transparency and Risk Sharing in International Trade," Manchester School, University of Manchester, vol. 82(6), pages 716-731, December.
    14. Piero Gottardi & Rohit Rahi, 2014. "Value Of Information In Competitive Economies With Incomplete Markets," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(1), pages 57-81, February.
    15. Bernhard Eckwert & Burkhard Drees, 2006. "Implications of Better Information for Technological Development and Welfare," EcoMod2006 272100022, EcoMod.
    16. Juan Hatchondo, 2004. "The value of information with heterogeneous agents and partially revealing prices," Econometric Society 2004 North American Summer Meetings 175, Econometric Society.

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