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Ambiguity and rational expectations equilibria

Ganguli, Jayant V and Condie, Scott (2008) Ambiguity and rational expectations equilibria. [UNSPECIFIED]

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Abstract

This paper proves the existence and robustness of partially-revealing rational expectations equilibria (REE) when this equilibrium concept is expanded to allow for some agents to have preferences that display ambiguity aversion. Furthermore, the generic existence of fully- revealing REE is proven for a commonly-used subset of the class of ambiguity averse preferences. This finding illustrates that models with ambiguity aversion provide a relatively tractable framework through which partial information revelation may be studied in a general equilibrium setting without relying on particular distributional assumptions or the presence of noise traders. Constructive examples are also provided.

Item Type: UNSPECIFIED
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 14 Feb 2013 16:12
Last Modified: 17 Aug 2017 18:02
URI: http://repository.essex.ac.uk/id/eprint/5632

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