On Existence and Uniqueness of Equilibrium in a Class of Noisy Rational Expectations Models

• 成果类型: Article
• 署名作者: Breon-Drish, Bradyn
• 署名单位: Stanford University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdv012
• 发表日期: 2015
• 页码: 868-921
• 关键词: information acquisition; comparative statics; price movements; MARKET; aggregation; RISK; dispersion; EFFICIENCY; earnings; feedback

摘要

I study a general class of noisy rational expectations models that nests the standard Grossman and Stiglitz (1980) and Hellwig (1980) models, but relaxes the usual assumption of joint normality of asset pay-offs and supply, and allows for more general signal structures. I provide a constructive proof of existence of equilibrium, characterize the price function, and provide sufficient conditions for uniqueness within the class of equilibria with continuous price functions, which are met by both the Grossman and Stiglitz (1980) models and the Hellwig (1980) models with a continuum of investors. My solution approach does not rely on the typical conjecture and verify method, and I exhibit a number of non-normal examples in which asset prices can be characterized explicitly and in a closed form. The results presented here open up a broad class of models for applied work. To illustrate the usefulness of generalizing the standard model, I show that in settings with non-normally distributed pay-offs, shocks to fundamentals may be amplified purely due to learning effects, price drifts can arise naturally, and the disagreement-return relation depends in a novel way on return skewness.