Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.geb.2012.05.006
Title: Existence, incentive compatibility and efficiency of the rational expectations equilibrium
Authors: Sun, Y. 
Wu, L.
Yannelis, N.C.
Keywords: Asymmetric information
Conditional independence
Efficiency
Exact law of large numbers
Incentive compatibility
Rational expectations equilibrium
Issue Date: Sep-2012
Citation: Sun, Y., Wu, L., Yannelis, N.C. (2012-09). Existence, incentive compatibility and efficiency of the rational expectations equilibrium. Games and Economic Behavior 76 (1) : 329-339. ScholarBank@NUS Repository. https://doi.org/10.1016/j.geb.2012.05.006
Abstract: The rational expectations equilibrium (REE), as introduced in Radner (1979) in a general equilibrium setting à la Arrow-Debreu-McKenzie, often fails to have desirable properties such as universal existence, incentive compatibility and efficiency. We resolve those problems by providing a new model which makes the REE a desirable solution concept. In particular, we consider an asymmetric information economy with a continuum of agents whose private signals are independent conditioned on the macro states of nature. For such an economy, agents are allowed to augment their private information by the available public signals. We prove the existence, incentive compatibility and efficiency for this new REE concept. © 2012 Elsevier Inc..
Source Title: Games and Economic Behavior
URI: http://scholarbank.nus.edu.sg/handle/10635/114189
ISSN: 08998256
DOI: 10.1016/j.geb.2012.05.006
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