Common knowledge of rationality and market clearing in economies with asymmetric information

• 成果类型: Article
• 署名作者: Ben-Porath, Elchanan; Heifetz, Aviad
• 署名单位: Hebrew University of Jerusalem; Hebrew University of Jerusalem; Open University Israel
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2011.10.015
• 发表日期: 2011
• 页码: 2608-2626
• 关键词: Rational expectations; rationalizability; common knowledge; asymmetric information; exchange economy

摘要

Consider an exchange economy with asymmetric information. What is the set of outcomes that are consistent with common knowledge of rationality and market clearing? To address this question we define an epistemic model for the economy that provides a complete description not only of the beliefs of each agent on the relationship between states of nature and prices but also of the whole system of interactive beliefs. The main result, Theorem 1, provides a characterization of outcomes that are consistent with common knowledge of rationality and market clearing (henceforth, CKRMC outcomes) in terms of a solution notion - Ex-Post Rationalizability - that is defined directly in terms of the parameters that define the economy. CKRMC manifests several intuitive properties that stand in contrast to the full revelation property of Rational Expectations Equilibrium. In particular, for a robust class of economies: (1) there is a continuum of prices that are consistent with CKRMC in every state of nature, and hence these prices do not reveal the true state, (2) the range of CKRMC outcomes is monotonically decreasing as agents become more informed about the economic fundamentals, and (3) trade is consistent with common knowledge of rationality and market clearing even when there is common knowledge that there are no mutual gains from trade. (C) 2011 Elsevier Inc. All rights reserved.