Endogenous differential information

Sebastián Cea-Echenique*, Carlos Hervés-Beloso, Juan Pablo Torres-Martínez

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

We include endogenous differential information in a model with sequential trade and incomplete financial participation. Agents update information through market signals given by commodity prices and asset deliveries. Information acts over admissible strategies and consumption tastes, allowing discontinuities in preferences and choice sets. Therefore, equilibrium may cease to exist. However, internalizing the compatibility between information and consumption through preferences, and without requiring either financial survival assumptions or fully revealing prices, equilibrium existence can be ensured.

Original languageEnglish
Pages (from-to)51-72
Number of pages22
JournalEconomic Theory
Volume63
Issue number1
DOIs
StatePublished - 1 Jan 2017
Externally publishedYes

Bibliographical note

Funding Information:
We would like to thank Jean-Marc Bonnisseau, Bernard Cornet, and João Correia-da-Silva for helpful discussions. We specially thank the detailed comments and suggestions of an anonymous referee. S. Cea-Echenique acknowledges financial support from Conicyt and University of Chile; C. Hervés-Beloso acknowledges financial support from Research Grants ECO2012-38860-C02-02 (Ministerio de Economia y Competitividad) and RGEA (Xunta de Galicia and FEDER); J. P. Torres-Martínez acknowledges financial support from Conicyt through Fondecyt Projects 1120294 and 1150207.

Publisher Copyright:
© 2015, Springer-Verlag Berlin Heidelberg.

Keywords

  • Endogenous differential information
  • Incomplete markets
  • Rational expectations equilibrium
  • Restricted participation

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