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Competitive equilibrium with asymmetric information: an existence theorem for numeraire assets

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Abstract

In a general equilibrium model of incomplete markets with nominal assets and adverse selection, Cornet-De Boisdeffre (3) introduced refined concepts of "no-arbitrage" prices and equilibria, which extended to the asymmetric information. We now present the model with numeraire assets and study its existence properties. We show that equilibrium exists, as long as financial markets preclude arbitrage, under similar standard conditions, whether agents have symmetric or asymmetric information. This result departs from the rational expectations' outcome and extends to the asymmetric setting the classical existence property of symmetric information models with numeraire assets

Suggested Citation

  • Lionel de Boisdeffre, 2005. "Competitive equilibrium with asymmetric information: an existence theorem for numeraire assets," Cahiers de la Maison des Sciences Economiques b05067, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:mse:wpsorb:b05067
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    File URL: https://halshs.archives-ouvertes.fr/halshs-00196365
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    Keywords

    General equilibrium; asymmetric information; arbitrage; inference; existence of equilibrium;
    All these keywords.

    JEL classification:

    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets

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