Strongly rational expectations equilibria with endogenous acquisition of information
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Lüneburg: Institut für Volkswirtschaftslehre der Universität Lüneburg, 2005. (Working Paper Series in Economics; No. 9).
Research output: Working paper › Working papers
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TY - UNPB
T1 - Strongly rational expectations equilibria with endogenous acquisition of information
AU - Desgranges, Gabriel
AU - Heinemann, Maik
N1 - Literaturverz. S. 24
PY - 2005/3
Y1 - 2005/3
N2 - This paper analyzes conditions for existence of a strongly rational expectations equilibrium (SREE) in models with private information, where the amount of private information is endogenously determined. It is shown that the conditions for existence of a SREE known from models with exogenously given private information do not change as long as it is impossible to use the information transmitted through market prices. In contrast, these conditions are too weak, when there is such learning from prices. It turns out that the properties of the function which describes the costs that are associated with the individual acquisition of information are important in this respect. In case of constant marginal costs, prices must be half as informative than private signals in order for a SREE to exist. An interpretation of this result that falls back on the famous Grossman– Stiglitz–Paradox is also given.
AB - This paper analyzes conditions for existence of a strongly rational expectations equilibrium (SREE) in models with private information, where the amount of private information is endogenously determined. It is shown that the conditions for existence of a SREE known from models with exogenously given private information do not change as long as it is impossible to use the information transmitted through market prices. In contrast, these conditions are too weak, when there is such learning from prices. It turns out that the properties of the function which describes the costs that are associated with the individual acquisition of information are important in this respect. In case of constant marginal costs, prices must be half as informative than private signals in order for a SREE to exist. An interpretation of this result that falls back on the famous Grossman– Stiglitz–Paradox is also given.
KW - Economics
KW - Information
KW - Gleichgewichtsmodell
KW - Marktpreis
KW - eductive Learning
KW - private information
KW - rational expectations
KW - strongly rational expectations equilibrium
M3 - Working papers
T3 - Working Paper Series in Economics
BT - Strongly rational expectations equilibria with endogenous acquisition of information
PB - Institut für Volkswirtschaftslehre der Universität Lüneburg
CY - Lüneburg
ER -