Competitive equilibria with asymmetric information
成果类型：
Article
署名作者：
Bisin, A; Gottardi, P
署名单位：
New York University; Universita Ca Foscari Venezia
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1999.2514
发表日期：
1999
页码：
1-48
关键词：
摘要：
This paper studies competitive equilibria in economies where agents trade in markets for standardized, non-exclusive financial contracts, under conditions of asymmetric information (both of the moral hazard and the adverse selection type). The problems for the existence of competitive equilibria in this framework are identified, and shown to be essentially the same under different forms of asymmetric information. We then show that a minimal form of non-linearity of prices (a bid-ask spread, requiring only the possibility to separate buyers and sellers), and the condition that the aggregate return on the individual positions in each contract can be perfectly hedged in the existing markets, ensure the existence of competitive equilibria in the case of both adverse selection and moral hazard. Journal of Economic Literature Classification Numbers: D50, D82. (C) 1999 Academic Press.