Efficiency in trading markets with multi-dimensional signals

• 成果类型: Article
• 署名作者: Heumann, Tibor
• 署名单位: Pontificia Universidad Catolica de Chile
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2020.105156
• 发表日期: 2021
• 关键词: Information aggregation; Multi-dimensional signals; Demand function competition; Supply function competition; rational expectations equilibrium

摘要

There is a continuum of agents, each of whom trades a divisible asset via demand function competition. Individual valuations are determined by payoff shocks that are correlated across agents. Agents observe multi-dimensional signals about the payoff shocks; it is only assumed that the signals are normally and symmetrically distributed. We give three results about this economy. First, an equilibrium exists. Second, the equilibrium is constrained inefficient; a higher total surplus could be attained if agents submitted different demands. Third, a constrained-efficient outcome can be implemented by setting an appropriate capital-gains tax. The second result identifies a new type of inefficiency that only arises when agents observe multidimensional signals; the third result identifies the taxation policy that allows correcting this inefficiency. (C) 2020 Elsevier Inc. All rights reserved.