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

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

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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}",

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AU - Hervés-Beloso, Carlos

AU - Torres-Martínez, Juan Pablo

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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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DO - 10.1007/s00199-015-0924-5

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JO - Economic Theory

JF - Economic Theory

IS - 1

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Endogenous differential information

Abstract

Bibliographical note

Keywords

Access to Document

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