Constraints And Non Existence Of Rational Expectations Equilibria
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Constraints and Non-Existence of Rational Expectations Equilibria
Author | : Jose M. Marin |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
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In this article we show that in the presence of trading constraints, such as short sale constraints, the standard definition of a Rational Expectations Equilibrium allows for equilibrium prices that reveal information unknown to any active trader in the market. We propose a new definition of the Rational Expectations Equilibrium that incorporates a stronger measurability condition than measurability with respect to the join of the information sets of the agents and give an example of non-existence of equilibrium. The example is robust to perturbations on the data of the economy and the introduction of new assets.
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