| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8426 |
| DP8426 A Large-Market Rational Expectations Equilibrium Model | |
| Xavier Vives | |
| 发表日期 | 2011-06-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | This paper presents a market with asymmetric information where a privately revealing equilibrium obtains in a competitive framework and where incentives to acquire information are preserved. The equilibrium is efficient, and the paradoxes associated with fully revealing rational expectations equilibria are precluded without resorting to noise traders. The rate at which equilibria in finite replica markets with n traders approach the equilibrium in the continuum economy is 1/[square root]n, slower than the rate of convergence to price-taking behavior (1/n); and the per capita welfare loss is dissipated at the rate 1/n, slower than the rate at which inefficiency due to market power vanishes (1/n[squared]). The model admits a reinterpretation in which behavioral traders coexist with rational traders, and it allows us to characterize the amount of induced mispricing. |
| 主题 | Financial Economics ; Industrial Organization |
| 关键词 | Adverse selection Behavioral traders Complementarities Double auction Information acquisition Multi-unit auctions Rate of convergence |
| URL | https://cepr.org/publications/dp8426 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537263 |
| 推荐引用方式 GB/T 7714 | Xavier Vives. DP8426 A Large-Market Rational Expectations Equilibrium Model. 2011. |
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