| 来源类型 | Discussion paper
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| 规范类型 | 论文
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| 来源ID | DP7949
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| DP7949 Public and Private Learning from Prices, Strategic Substitutability and Complementarity, and Equilibrium Multiplicity |
| Xavier Vives; Carolina Manzano
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| 发表日期 | 2010-08-01
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| 出版年 | 2010
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| 语种 | 英语
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| 摘要 | We study a general static noisy rational expectations model, where investors have private information about asset payo¤s, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of equilibria. We find that a main driver of the characterization of equilibria is whether the actions of investors are strategic substitutes or complements. This latter property in turn is driven by the strength of a private learning channel from prices, arising from the multidimensional sources of asymmetric information, in relation to the usual public learning channel. When the private learning channel is strong (weak) in relation to the public we have strong (weak) strategic complementarity in actions and potentially multiple (unique) equilibria. The results enable a precise characterization of whether information acquisition decisions are strategic substitutes or complements. We find that the strategic substitutability in information acquisition result obtained in Grossman and Stiglitz (1980) is robust. |
| 主题 | Financial Economics
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| 关键词 | Asymmetric information
Hedging
Multiplicity of equilibria
Rational expectations equilibrium
Risk exposure
Strategic complementarity
Supply information
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| URL | https://cepr.org/publications/dp7949
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| 来源智库 | Centre for Economic Policy Research (United Kingdom)
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536784
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推荐引用方式
GB/T 7714 |
Xavier Vives,Carolina Manzano. DP7949 Public and Private Learning from Prices, Strategic Substitutability and Complementarity, and Equilibrium Multiplicity. 2010.
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