Endogenous differential information

Sebastián Cea-Echenique; Carlos Hervés-Beloso; Juan Pablo Torres-Martínez

doi:10.1007/s00199-015-0924-5

Endogenous differential information

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

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

4 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 language	English
Pages (from-to)	51-72
Number of pages	22
Journal	Economic Theory
Volume	63
Issue number	1
DOIs	https://doi.org/10.1007/s00199-015-0924-5
State	Published - 1 Jan 2017
Externally published	Yes

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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10.1007/s00199-015-0924-5

Cite this

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title = "Endogenous differential information",

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.",

keywords = "Endogenous differential information, Incomplete markets, Rational expectations equilibrium, Restricted participation",

author = "Sebasti{\'a}n Cea-Echenique and Carlos Herv{\'e}s-Beloso and Torres-Mart{\'i}nez, {Juan Pablo}",

note = "Funding Information: We would like to thank Jean-Marc Bonnisseau, Bernard Cornet, and Jo{\~a}o 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. Herv{\'e}s-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-Mart{\'i}nez acknowledges financial support from Conicyt through Fondecyt Projects 1120294 and 1150207. Publisher Copyright: {\textcopyright} 2015, Springer-Verlag Berlin Heidelberg.",

year = "2017",

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doi = "10.1007/s00199-015-0924-5",

language = "English",

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AU - Cea-Echenique, Sebastián

AU - Hervés-Beloso, Carlos

AU - Torres-Martínez, Juan Pablo

N1 - 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.

PY - 2017/1/1

Y1 - 2017/1/1

N2 - 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.

AB - 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.

KW - Endogenous differential information

KW - Incomplete markets

KW - Rational expectations equilibrium

KW - Restricted participation

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U2 - 10.1007/s00199-015-0924-5

DO - 10.1007/s00199-015-0924-5

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SN - 0938-2259

VL - 63

SP - 51

EP - 72

JO - Economic Theory

JF - Economic Theory

IS - 1

ER -

Endogenous differential information

Abstract

Bibliographical note

Keywords

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