Ambiguity and Rational Expectations Equilibria

This paper demonstrates the existence and robustness of partially revealing rational expectations equilibria in general exchange economies when some traders have non-smooth ambiguity-averse preferences. This finding illustrates that models with non-smooth 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 or von Neumann-Morgenstern utility assumptions or the presence of "noise." © The Author 2011. Published by Oxford University Press on behalf of The Review of Economic Studies Limited.