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The Value of Information in Some General Equilibrium Models

Author

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  • Eckwert, B.
  • Zilcha, I.

Abstract

The paper generalizes Blackwell's theorem, according to which the welfare effects of an improvement in information are positive to certain class equilibrium production economies. The consumer preferences in this class of economies exhibit either constant relative risk of constant risk aversion or constant absolute risk aversion. We also demonstrate that the introduction of risk sharing markets may invalidate the blackwll result.

Suggested Citation

  • Eckwert, B. & Zilcha, I., 1998. "The Value of Information in Some General Equilibrium Models," Papers 13-98, Tel Aviv.
    • Handle: RePEc:fth:teavfo:13-98
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    References listed on IDEAS

    as
    1. Grossman, Sanford J & Stiglitz, Joseph E, 1980. "On the Impossibility of Informationally Efficient Markets," American Economic Review, American Economic Association, vol. 70(3), pages 393-408, June.
    2. Sulganik, Eyal & Zilcha, Itzhak, 1997. "The value of information: The case of signal-dependent opportunity sets," Journal of Economic Dynamics and Control, Elsevier, vol. 21(10), pages 1615-1625, August.
    3. Edward E. Schlee, 1996. "The Value of Information About Product Quality," RAND Journal of Economics, The RAND Corporation, vol. 27(4), pages 803-815, Winter.
    4. Orosel, Gerhard O., 1996. "Informational efficiency and welfare in the stock market," European Economic Review, Elsevier, vol. 40(7), pages 1379-1411, August.
    5. J. Hirshleifer, 1975. "Speculation and Equilibrium: Information, Risk, and Markets," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 89(4), pages 519-542.
    6. Green, Jerry R, 1981. "Value of Information with Sequential Futures Markets," Econometrica, Econometric Society, vol. 49(2), pages 335-358, March.
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    Cited by:

    1. Eckwert, Bernhard & Zilcha, Itzhak, 2001. "The Value of Information in Production Economies," Journal of Economic Theory, Elsevier, vol. 100(1), pages 172-186, September.

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