DO PRICES TRANSMIT RATIONALLY EXPECTED INFORMATION?

• 成果类型: Article
• 署名作者: Desgranges, Gabriel; Geoffard, Pierre-Yves; Guesnerie, Roger
• 署名单位: CY Cergy Paris Universite; Universite Jean Monnet; University of Lausanne
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1162/154247603322256783
• 发表日期: 2003
• 页码: 124-153
• 关键词: rational-expectations equilibrium; efficient markets; INFORMATION; speculation; hypothesis; EXISTENCE; KNOWLEDGE; games

摘要

A simple model with asymmetric information, in which inventory holders or traders submit demand curves to an auctioneer, has a unique partially revealing equilibrium. We wonder whether the agents can plausibly coordinate on this equilibrium through eductive reasoning relying on common knowledge. The analysis stresses the role of two effects, sensitivity and amplification, whose product should be small enough. The property is obtained whenever the equilibrium excess demand is steep enough, i.e., when the search for information does not distort demand too much. Neither the influence of the number of informed agents nor that of noise trading are monotonic. Real-time learning has strikingly different features. (JEL: D82, D84)