Competitive rational expectations equilibria without apology

• 成果类型: Article
• 署名作者: Kovalenkov, Alexander; Vives, Xavier
• 署名单位: University of Glasgow; University of Navarra; IESE Business School
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2013.05.002
• 发表日期: 2014
• 页码: 211-235
• 关键词: Schizophrenia problem; Strategic equilibrium; large markets; information acquisition; free entry; Rate Of Convergence

摘要

Consider a financial market with N risk-averse asymmetrically informed traders. When N grows at the same rate as noise trading, prices in competitive and in strategic rational expectations equilibrium converge to each other at a rate of 1/N. Equilibria in the two scenarios are close when noise trading volume per informed trader is large in relation to risk-bearing capacity. Both equilibria converge to the competitive equilibrium of a limit continuum economy as the market becomes large at a slower rate of 1/root N. The results extend to endogenous information acquisition and the connections with the Grossman-Stiglitz paradox are highlighted. (C) 2013 Elsevier Inc. All rights reserved.