On endogenous formation of price expectations

• 成果类型: Article
• 署名作者: Cuong Le Van; Navrouzoglou, Paulina; Vailakis, Yiannis
• 署名单位: Paris School of Economics; IPAG Business School; Centre National de la Recherche Scientifique (CNRS); University of Glasgow
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2019.03.004
• 发表日期: 2019
• 页码: 436-458
• 关键词: Perfect foresight; Price expectations; endogenous borrowing constraints

摘要

We study a two-period exchange economy with complete financial markets and endogenous borrowing constraints. Contrary to perfect foresight paradigm, we assume that agents are heterogeneous in their ability to forecast future prices. We introduce a new equilibrium concept, called informationally constrained equilibrium, where the formation of price expectations is endogenous and reflects the revelation of information from observing bounds on liabilities designed to ensure solvency at any contingency. We prove that, under standard assumptions, an equilibrium always exists and we characterize the degree of information revealed by the endogenous debt limits. (C) 2019 Published by Elsevier Inc.