Incentive compatible self-fulfilling mechanisms and rational expectations

• 成果类型: Article
• 署名作者: Huang, Xuesong
• 署名单位: Rutgers University System; Rutgers University New Brunswick
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2020.12.003
• 发表日期: 2021
• 页码: 100-135
• 关键词: Rational expectations equilibrium; Strategic market game; Incentive compatible self-fulfilling mechanism; Large economy

摘要

This paper extends the exact equivalence result between the allocations realized by self-fulfilling mechanisms and rational expectations equilibrium allocations in Forges and Minelli (1997) to a large finite-agent replica economy where different replicas of the same agent are allowed to receive different private information. The first result states that the allocation realized by any incentive compatible self-fulfilling mechanism is an approximate rational expectations equilibrium allocation. Conversely, the second result states that, given any rational expectations equilibrium satisfying a uniform continuity condition on the equilibrium price, one can construct an approximate incentive compatible self-fulfilling mechanism whose equilibrium allocation coincides with the rational expectations equilibrium allocation for all non-monetary commodities. (C) 2020 Elsevier Inc. All rights reserved.