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1.
Summary. We point out several conceptual difficulties of the rational expectations equilibrium concept. In particular we show that such an equilibrium need not be incentive compatible and need not be implementable as a perfect Bayesian equilibrium . A comparison of rational expectations equilibria with the private core is also provided. We conclude that the private core is a more appropriate concept to capture the idea of contracts under asymmetric information.Received: 15 December 2003, Revised: 18 November 2004, JEL Classification Numbers:
C71, C72, D5, D82.
Correspondence to: Nicholas C. YannelisWe wish to thank Dr A. Hadjiprocopis for his invaluable help with the implementation of Latex in a Unix environment. 相似文献
2.
Summary. In the context of differential information economies, with and without free disposal, we consider the concepts of Radner
equilibrium, rational expectations equilibrium, private core, weak fine core and weak fine value. We look into the possible
implementation of these concepts as perfect Bayesian or sequential equilibria of noncooperative dynamic formulations. We construct
relevant game trees which indicate the sequence of decisions and the information sets, and explain the rules for calculating
ex ante expected payoffs. The possibility of implementing an allocation is related to whether or not it is incentive compatible.
Implementation through an exogenous third party or an endogenous intermediary is also considered.
Received: November 19, 2001; revised version: April 17, 2002
RID="*"
ID="*" This paper comes out of a visit by Nicholas Yannelis to City University, London, in December 2000. We are grateful
to Dr A. Hadjiprocopis for his invaluable help with the implementation of Latex in a Unix environment. We also thank Leon
Koutsougeras and a referee for several, helpful comments.
Correspondence to: N.C. Yannelis 相似文献
3.
In general rational expectations equilibrium (REE), as introduced in Radner (Econometrica 47:655–678, 1978) in an Arrow–Debreu–McKenzie
setting with uncertainty, does not exist. Moreover, it fails to be fully Pareto optimal and incentive compatible and is also
not implementable as a perfect Bayesian equilibrium of an extensive form game (Glycopantis et al. in Econ Theory 26:765–791,
2005). The lack of all the above properties is mainly due to the fact that the agents are supposed to predict the equilibrium
market clearing price (as agent’s expected maximized utility is conditioned on the information that equilibrium prices reveal),
which leads inevitably to the presumption that agents know all the primitives in the economy, i.e., random initial endowments,
random utility functions and private information sets. To get around this problematic equilibrium notion, we introduce a new
concept called Bayesian–Walrasian equilibrium (BWE) which has Bayesian features. In particular, agents try to predict the market-clearing prices using Bayesian updating
and evaluate their consumption in terms of Bayesian price estimates, which are different for each individual. In this framework
agents maximize expected utility conditioned on their own private information about the state of nature, subject to a Bayesian
estimated budget constraint. Market clearing is not an intrinsic part of the definition of BWE. However, both in the case
of perfect foresight and in the case of symmetric information BWE leads to a statewise market clearing; it then becomes an
ex post Walrasian equilibrium allocation. This new BWE exists under standard assumptions, in contrast to the REE. In particular,
we show that our new BWE exists in the well-known example in Kreps (J Econ Theory 14:32–43, 1977), where REE fails to exist.
This work was done in the Spring of 2005, when EJB was a visiting professor at the University of Illinois. 相似文献
4.
We show why the failure of the affiliation assumption prevents the double auction from achieving efficient outcomes when values
are interdependent. This motivates the study of an ascending price version of the double auction. It is shown that when there
is a sufficiently large, but still finite, number of sellers, this mechanism has an approximate perfect Bayesian equilibrium in which traders continue bidding if and only if their true estimates of the ‘value’ of the
object being traded exceed the current price. This equilibrium is ex post efficient and has a rational expectations property in the sense that along the equilibrium path traders appear to have made the best possible trades conditional on information
revealed by the trading process.
We thank two anonymous referees and Dan Kovenock, the Editor, whose detailed comments and suggestions have allowed us to substantially
improve the paper. We also thank seminar participants at University of Toronto, University of Wisconsin-Madison, Summer 2003
North American Meetings of the Econometric Society, 2004 NSF Decentralization Conference for their comments. 相似文献
5.
Summary. In a game with rational expectations, individuals simultaneously refine their information with the information revealed by
the strategies of other individuals. At a Nash equilibrium of a game with rational expectations, the information of individuals
is essentially symmetric: the same profile of strategies is also an equilibrium of a game with symmetric information; and
strategies are common knowledge. If each player has a veto act, which yields a minimum payoff that no other profile of strategies
attains, then the veto profile is the only Nash equilibrium, and it is is an equilibrium with rational expectations and essentially
symmetric information; which accounts for the impossibility of speculation.
Received: June 20, 2001; revised version: January 9, 2002
RID="*"
ID="*" We wish to thank Pierpaolo Battigalli, Fran?oise Forges, Franco Donzelli, Leonidas Koutsougeras, Aldo Rustichini, Rajiv
Vohra and Nicholas Yannelis for their comments.
Correspondence to: H. Polemarchakis 相似文献
6.
7.
Frdric Koessler 《Games and Economic Behavior》2004,48(2):1053-320
This paper provides a model for the study of direct, public and strategic knowledge sharing in Bayesian games. We propose an equilibrium concept which takes into account communication possibilities of exogenously certifiable statements and in which beliefs off the equilibrium path are explicitly deduced from consistent possibility correspondences, without making reference to perturbed games. Properties of such an equilibrium and of revised knowledge are examined. In particular, it is shown that our equilibrium is always a sequential equilibrium of the associated extensive form game with communication. Finally, sufficient conditions for the existence of perfectly revealing or non-revealing equilibria are characterized in some classes of games. Several examples and economic applications are investigated. 相似文献
8.
This paper shows that a competitive equilibrium model, where a representative agent maximizes welfare, expectations are rational and markets are in equilibrium can account for several hyperinflation stylized facts. The theory is built by combining two hypotheses, namely, a fiscal crisis that requires printing money to finance an increasing public deficit and a predicted change in an unsustainable fiscal regime.We thank an anonymous referee for very helpful comments. A. B. Cunha acknowledges financial support from the Brazilian Council of Science and Technology (CNPq). 相似文献
9.
Mutually acceptable courses of action 总被引:1,自引:0,他引:1
We offer a game-theoretic framework that enables the analysis of situations whereby rational individuals with different beliefs
and views of the world agree to a shared course of action. We introduce a new solution concept: a mutually acceptable course
of action, which can be viewed as an (incomplete) contract or a social norm that free rational individuals would be willing
to follow for their own diverse reasons. We show that by varying the degree of completeness of the underlying course of action,
our concept can be related to commonly used solutions, such as perfect equilibrium, perfect Bayesian equilibrium, (rationalizable)
self-confirming equilibrium, and rationalizable outcomes.
We are grateful to the editor and an anonymous referee for very useful and helpful comments and suggestions. Earlier versions
of this paper were circulated under the title “Towering over Babel: Worlds Apart but Acting Together”. We thank participants
at the World Congress of Game Theory Society (2004), the International Conference on Game Theory (2004), the European Meeting
(2004), and the Econometric Society World Congress (2005). Financial support from SSHRC and NSERC of Canada, and the National
Science Council of Taiwan are gratefully acknowledged. 相似文献
10.
Summary. Recent experiments on mixed-strategy play in experimental games reject the hypothesis that subjects play a mixed strategy
even when that strategy is the unique Nash equilibrium prediction. However, in a three-person matching-pennies game played
with perfect monitoring and complete payoff information, we cannot reject the hypothesis that subjects play the mixed-strategy
Nash equilibrium. Given this support for mixed-strategy play, we then consider two qualitatively different learning theories
(sophisticated Bayesian and naive Bayesian) which predict that the amount of information given to subjects will determine
whether they can learn to play the predicted mixed strategies. We reject the hypothesis that subjects play the symmetric mixed-strategy
Nash equilibrium when they do not have complete payoff information. This finding suggests that players did not use sophisticated
Bayesian learning to reach the mixed-strategy Nash equilibrium.
Received: August 9, 1996; revised version: October 21, 1998 相似文献
11.
Summary. We consider a differential information economy with infinitely many commodities and analyze the veto power of the grand coalition with respect the ability of blocking non-Walrasian expectations equilibrium allocations. We provide two different Walrasian expectations equilibrium equivalence results. First by perturbing the initial endowments in a precise direction we show that an allocation is a Walrasian expectations equilibrium if and only if it is not privately dominated by the grand coalition. The second characterization deals with the fuzzy veto in the sense of Aubin but within a differential information setting. This second equivalence result provides a different characterization for the Walrasian expectations equilibrium and shows that the grand coalition privately blocks in the sense of Aubin any non Walrasian expectations equilibrium allocation with endowment participation rate arbitrarily close to the total initial endowment participation for every individual. Finally, we show that any no free disposal Walrasian expectations equilibria is coalitional Bayesian incentive compatible. Since the deterministic Arrow-Debreu-McKenzie model is a special case of the differential information economy model, one derives new characterizations of the Walrasian equilibria in economies with infinitely many commodities.Received: 29 October 2003, Revised: 24 February 2004, JEL Classification Numbers:
D51, D82, D11.
Correspondence to: Emma Moreno-GarcíaThe authors are grateful to an anonymous referee for his/her careful reading and helpful comments and suggestions.C. Hervés and E. Moreno acknowledge support by Research Grant BEC2000-1388-C04-01 (Ministerio de Ciencia y Tecnología and FEDER); and support by the Research Grant SA091/02 (Junta de Castilla y León). 相似文献
12.
《Bulletin of economic research》2018,70(1):E97-E113
This paper studies first‐order approximate solutions to near‐rational dynamic equilibrium models. Under near‐rationality, agents' subjective beliefs are distorted away from rational expectations via a change of measure process which fulfills some regularity conditions. In most applications, the beliefs distortion process is also directly observed by (a subset of) the decision‐makers – e.g., ambiguity‐averse households or policy‐makers with a concern for robustness – and therefore included into their optimization problems. We investigate conditions for existence and local uniqueness of solutions under endogenous distortions, as well as the relation with their rational expectations counterparts. We show that linearly perturbed solutions may well be affected by the presence of distorted beliefs, depending on the underlying model economy. In particular, while directly affecting first‐order decision rules, near‐rationality may also induce failure of the certainty equivalence principle. Moreover, the martingale representation of distorted beliefs might prove non‐unique, pointing to a subtle form of equilibrium indeterminacy. 相似文献
13.
A type structure is non-redundant if no two types of a player represent the same hierarchy of beliefs over the given set of basic uncertainties, and it is redundant otherwise. Under a mild necessary and sufficient condition termed separativity, we show that any redundant structure can be identified with a non-redundant structure with an extended space of basic uncertainties. The belief hierarchies induced by the latter structure, when “marginalized,” coincide with those induced by the former. We argue that redundant structures can provide different Bayesian equilibrium predictions only because they reflect a richer set of uncertainties entertained by players but unspecified by the analyst. The analyst shall make use of a non-redundant structure, unless he believes that he misspecified the players' space of basic uncertainties. We also consider bounding the extra uncertainties by the action space for Bayesian equilibrium predictions. 相似文献
14.
Patrick L. Leoni 《Economic Theory》2009,39(2):217-229
A natural conjecture is that if agents’ beliefs are almost correct then equilibrium prices should be close to rational expectations
prices. Sandroni (J Econ Theory 82:1–18, 1998) gives a counterexample in an economy with sunspots and complete markets. We
extend Sandroni’s result by showing that the conjecture is generically true for economies with complete markets. We consider
a standard General Equilibrium model with large but finite horizon and complete markets. We show that, for almost every such
economy, if conditional beliefs eventually become correct along a path of events then equilibrium prices of assets traded
along this path converge to rational expectations equilibria in the sup-norm. Moreover, we establish that, generically, there
exist along any such path local diffeomorphisms between individual beliefs and equilibrium prices.
I would like to thank C. Ewerhart and A. Kirman for their comments, as well as the seminar participants at the University
of Minho, the General Equilibrium Workshop 2005 in Zurich, and the 15th Asian General Equilibrium Conference 2007 in Singapore.
An anonymous referee also provided very valuable comments. 相似文献
15.
Sandeep BaligaStephen Morris 《Journal of Economic Theory》2002,105(2):450-468
We analyze the role of cheap-talk in two player games with one-sided incomplete information. We identify conditions under which (1) players can fully communicate and coordinate on efficient Nash equilibria of the underlying complete information game; and (2) players cannot communicate so cheap-talk does not alter the equilibrium set of the Bayesian game. We present examples that illustrate several issues that arise when there is two-sided incomplete information. Journal of Economic Literature Classification Numbers: C72, D82. 相似文献
16.
This paper studies supermodular mechanism design in environments with arbitrary (finite) type spaces and interdependent valuations. In these environments, the designer may have to use Bayesian equilibrium as a solution concept, because ex-post implementation may not be possible. We propose direct (Bayesian) mechanisms that are robust to certain forms of bounded rationality while controlling for equilibrium multiplicity. In quasi-linear environments with informational and allocative externalities, we show that any Bayesian mechanism that implements a social choice function can be converted into a supermodular mechanism that also implements the original decision rule. The proposed supermodular mechanism can be chosen in a way that minimizes the size of the equilibrium set, and we provide two sets of sufficient conditions to this effect. This is followed by conditions for supermodular implementation in unique equilibrium. 相似文献
17.
Dr. Thomas Lux 《Journal of Economics》1992,56(2):185-196
In this note stability conditions for the endogenous rational expectations business cycles detected by Diamond and Fudenberg (1989) are derived. It is shown that for the trading externality underlying their example, bifurcating cycles are always stable, i.e., there always exists a continuum of rational expectations equilibrium paths converging to the cycle.I am grateful to Reiner Franke and the referees of this Journal for their helpful comments and suggestions. I also thank my colleagues Wolfgang Hofmann and Bill Brunton for checking the language of the paper. 相似文献
18.
Peter B. Dixon K.R. Pearson Mark R. Picton Maureen T. Rimmer 《Economic Modelling》2005,22(6):1001-1019
We describe a simple iterative method for solving large dynamic CGE models under rational expectations. Details are given for Australia's MONASH model but the approach applies to a wide range of CGE models. The method is automated in the RunMONASH Windows software, putting CGE modelling under rational expectations within the reach of non-specialist modellers. We provide an illustrative application in which MONASH results under rational expectations are compared with results under static expectations. The application and supporting software can be downloaded. Results from the application are interpreted in terms of elementary economic mechanisms. 相似文献
19.
Jamsheed Shorish 《Economic Theory》2010,43(3):351-376
The rational expectations equilibrium (REE) has been criticized as an equilibrium concept in market game environments. Such
an equilibrium may not exist generically, or it may introduce unrealistic assumptions about an economic agent’s knowledge
or computational ability. We define an REE as a probability measure over uncertain states of nature which exploits all available
information in a market game, and which exists for almost all economies. Furthermore, if retrading is allowed, it is possible
for agents to compute such a ‘functional rational expectations equilibrium’ using straightforward numerical fixed point algorithms.
The approach is demonstrated in a detailed numerical example. 相似文献
20.
We provide an evaluation of the measure of privately blocking coalitions in differential information economies. In the case
of atomless economies, it is proved that for a Pareto optimal allocation that is not a Walrasian expectations equilibrium,
to any symmetric profile there corresponds a ball such that "almost half” of the profiles it contains are privately blocking.
Analogous results are proved in the case of finite differential information economies for generalized coalitions and social
coalition structures. From a different point of view, the paper can be considered as a contribution showing private core equivalence
theorems under restrictions on coalition formation.
We thank an anonymous referee for observations and comments improving an earlier version of the present paper. 相似文献