Endogenous differential information

Sebastián Cea-Echenique, Carlos Hervés-Beloso, Juan Pablo Torres-Martínez

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

We include endogenous differential information in a model with sequential trade and incomplete financial participation. Agents update information through market signals given by commodity prices and asset deliveries. Information acts over admissible strategies and consumption tastes, allowing discontinuities in preferences and choice sets. Therefore, equilibrium may cease to exist. However, internalizing the compatibility between information and consumption through preferences, and without requiring either financial survival assumptions or fully revealing prices, equilibrium existence can be ensured.

Original languageEnglish
Pages (from-to)51-72
Number of pages22
JournalEconomic Theory
Volume63
Issue number1
DOIs
StatePublished - 1 Jan 2017
Externally publishedYes

Keywords

  • Endogenous differential information
  • Incomplete markets
  • Rational expectations equilibrium
  • Restricted participation

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