Rational Expectations Equilibrium Cost Of Information And Welfare PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Rational Expectations Equilibrium Cost Of Information And Welfare PDF full book. Access full book title Rational Expectations Equilibrium Cost Of Information And Welfare.
Author | : Chang-Ho Yoon |
Publisher | : |
Total Pages | : 248 |
Release | : 1978 |
Genre | : Commerce |
ISBN | : |
Download Rational Expectations Equilibrium, Cost of Information and Welfare Book in PDF, ePub and Kindle
Author | : Jean-Jacques Laffont |
Publisher | : |
Total Pages | : 55 |
Release | : 1984 |
Genre | : |
ISBN | : |
Download On the Welfare Analysis of Rational Expectations Equilibria with Asymetric Information Book in PDF, ePub and Kindle
Author | : Xavier Vives |
Publisher | : |
Total Pages | : 35 |
Release | : 2011 |
Genre | : Information |
ISBN | : |
Download Endogenous Public Information and Welfare Book in PDF, ePub and Kindle
This paper performs a welfare analysis of economies with private information when public information is endogenously generated and agents can condition on noisy public statistics in the rational expectations tradition. We find that equilibrium is not (restricted) efficient even when feasible allocations share similar properties to the market context (e.g., linear in information). The reason is that the market in general does not internalize the informational externality when public statistics (e.g., prices) convey information. Under strategic substitutability, equilibrium prices will tend to convey too little information when the "informational" role of prices prevails over its index of "scarcity" role and too much information in the opposite case. Under strategic complementarity, prices always convey too little information. These results extend to the internal efficiency benchmark (accounting only for the collective welfare of the active players). However, received results - on the relative weights placed by agents on private and public information, when the latter is exogenous - may be overturned.
Author | : Tobias F. Rötheli |
Publisher | : Edward Elgar Publishing |
Total Pages | : 308 |
Release | : 2007 |
Genre | : Business & Economics |
ISBN | : |
Download Expectations, Rationality and Economic Performance Book in PDF, ePub and Kindle
'To a significant extent, the book is at the cutting edge of much economic thinking in microeconomics. . . it brings together nicely material on uncertainty, expectations and cognitive limitations and relates this to recent work in experimental economics.' - Geoffrey M. Hodgson, University of Hertfordshire, UK 'For more than 200 years, economists have debated the microfoundations of their science. There is only one way forward and that is to carefully examine the nature and the rationality of decision processes. Professor Rötheli's book is unique. He offers an idiosyncratic blend of theoretical analysis and experimental research that enlightens and provokes.' - Werner F.M. De Bondt, DePaul University, US This book offers a broad perspective on the economics of expectations. Experimental studies are used to analyse how human bounded rationality affects economic performance. The challenges posed for policy making are also addressed. Tobias Rötheli begins by presenting the basic tools and theoretical models necessary to our understanding of rational and boundedly rational expectations and their role in economic life. Key topics discussed include expectations in general equilibrium theory, probabilities and expected utility, heterogeneity of economic agents, behavioural alternatives to forecasting and the effects of expectations heuristics, particularly in financial markets. The author then goes on to explore the fascinating insights behavioural economics - the empirical analysis of economic decision making - has to offer. Here experimental studies illustrate the effects of costly information, the role of pattern recognition as basis of expectations, anticipation and coordination failures, and the role of expectations in determining the general price level. The book also addresses the implications of the experimental findings for applied economics. Aiming to achieve the accessibility of a textbook, this research monograph will appeal to economic researchers interested in economic behaviour and theory, as well as students taking upper-level undergraduate and graduate courses. It will also be of interest to economists working in business and government.
Author | : Jean-Jacques Laffont |
Publisher | : |
Total Pages | : 49 |
Release | : 1983 |
Genre | : |
ISBN | : |
Download On the welfare analysis of rational expectations equilibria with asymmetric information Book in PDF, ePub and Kindle
Author | : Manuel Amador |
Publisher | : |
Total Pages | : 68 |
Release | : 2008 |
Genre | : Information theory in economics |
ISBN | : |
Download Learning from Prices Book in PDF, ePub and Kindle
We study the effect of releasing public information about productivity or monetary shocks when agents learn from nominal prices. While public releases have the benefit of providing new information, they can have the cost of reducing the informational efficiency of the price system. We show that, when agents have private information about monetary shocks, the cost can dominate, in that public releases increase uncertainty about fundamentals. In some cases, public releases can create or eliminate multiple equilibria. Our results are robust to adding velocity shocks, imperfectly observable prices, large idiosyncratic shocks, and introducing a bond market.
Author | : Xavier Vives |
Publisher | : |
Total Pages | : 36 |
Release | : 2011 |
Genre | : Auctions |
ISBN | : |
Download A Large-market Rational Expectations Equilibrium Model Book in PDF, ePub and Kindle
Author | : Rohit Rahi |
Publisher | : |
Total Pages | : 45 |
Release | : 2012 |
Genre | : |
ISBN | : |
Download Efficiency Properties of Rational Expectations Equilibria with Asymmetric Information Book in PDF, ePub and Kindle
In this paper we provide a characterization of the welfare properties of rational expectations equilibria of economies in which, prior to trading, agents have some information over the realization of uncertainty. We study a model with asymmetrically informed agents, treating symmetric information as a limiting case. Trade takes place in asset markets that may or may not be complete. We show that equilibria are characterized by two forms of inefficiency, price inefficiency and spanning inefficiency, and that generically both of them are present. Price inefficiency arises whenever equilibrium prices reveal some information. It formalizes and generalizes the so-called Hirshleifer effect, by showing that generically an interim Pareto improvement is possible even conditional on the information that is available to agents in equilibrium; the primary source of the inefficiency is a pecuniary externality. Spanning inefficiency, on the other hand, arises if prices are not fully revealing and markets are incomplete relative to the uncertainty faced by agents in equilibrium. In this case, an ex-post improvement can generically be implemented by providing agents with more information, thus expanding their risk-sharing opportunities and reducing informational asymmetries, even though this additional information restricts the set of allocations that are incentive compatible and individually rational.
Author | : Roger Guesnerie |
Publisher | : MIT Press |
Total Pages | : 498 |
Release | : 2005-02-18 |
Genre | : Business & Economics |
ISBN | : 9780262262903 |
Download Assessing Rational Expectations 2 Book in PDF, ePub and Kindle
A theoretical assessment of the Rational Expectations Hypothesis through subjecting a collection of economic models to an "eductive stability" test. The rational expectations hypothesis (REH) dominates economic modeling in areas ranging from monetary theory, macroeconomics, and general equilibrium to finance. In this book, Roger Guesnerie continues the critical analysis of the REH begun in his Assessing Rational Expectations: Sunspot Multiplicity and Economic Fluctuations, which dealt with the questions raised by multiplicity and its implications for a theory of endogenous fluctuations. This second volume emphasizes "eductive" learning: relying on careful reasoning, agents must deduce what other agents guess, a process that differs from the standard evolutionary learning experience in which agents make decisions about the future based on past experiences. A broad "eductive" stability test is proposed that includes common knowledge and results in a unique "rationalizable expectations equilibrium." This test provides the basis for Guesnerie's theoretical assessment of the plausibility of the REH's expectational coordination, emphasizing, for different categories of economic models, conditions for the REH's success or failure. Guesnerie begins by presenting the concepts and methods of the eductive stability analysis in selected partial equilibrium models. He then explores to what extent general equilibrium strategic complementarities interfere with partial equilibrium considerations in the formation of stable expectations. Guesnerie next examines two issues relating to eductive stability in financial market models, speculation and asymmetric price information. The dynamic settings of an infinite horizon model are then taken up, and particular standard and generalized saddle-path solutions are scrutinized. Guesnerie concludes with a review of general questions and some "cautious" remarks on the policy implications of his analysis.
Author | : Simon Messner |
Publisher | : |
Total Pages | : 20 |
Release | : 1996 |
Genre | : |
ISBN | : |
Download Welfare properties of rational expectations equilibria Book in PDF, ePub and Kindle