E-stability and stability of adaptive learning in models with private information

Publikation: Beiträge in ZeitschriftenZeitschriftenaufsätzeForschungbegutachtet

Authors

The paper demonstrates how the E-stability principle introduced by Evans and Honkapohja [2001. Learning and Expectations in Macroeconomics. Princeton University Press, Princeton, NJ] can be applied to models with heterogeneous and private information in order to assess the stability of rational expectations equilibria under learning. The paper extends already known stability results for the Grossman and Stiglitz [1980. On the impossibility of informationally efficient markets. American Economic Review 70, 393-408] model to a more general case with many differentially informed agents and to the case where information is endogenously acquired by optimizing agents. In both cases it turns out that the rational expectations equilibrium of the model is inherently E-stable and thus locally stable under recursive least squares learning.

OriginalspracheEnglisch
ZeitschriftJournal of Economic Dynamics and Control
Jahrgang33
Ausgabenummer12
Seiten (von - bis)2001-2014
Anzahl der Seiten14
ISSN0165-1889
DOIs
PublikationsstatusErschienen - 01.12.2009

DOI

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