Information-constrained optima with retrading: An externality and its market-based solution

• 成果类型: Article
• 署名作者: Kilenthong, Weerachart T.; Townsend, Robert M.
• 署名单位: University Thai Chamber Commerce; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2010.11.001
• 发表日期: 2011
• 页码: 1042-1077
• 关键词: externalities; private information; moral hazard; Retrading; Walrasian equilibrium; constrained efficiency; decentralization

摘要

This paper studies the efficiency of competitive equilibria in environments with a moral hazard problem and unobserved states, both with retrading in ex post spot markets. The interaction between private information problems and the possibility of retrade creates an externality, unless preferences have special, restrictive properties. The externality is internalized by allowing agents to contract ex ante on market fundamentals determining the spot price or interest rate, over and above contracting on actions and outputs. Then competitive equilibria are equivalent with the appropriate notion of constrained Pareto optimality. Examples show that it is possible to have multiple market fundamentals or price-islands, created endogenously in equilibrium. (C) 2010 Elsevier Inc. All rights reserved.