Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices
理性预期均衡：一般性存在与价格揭示的信息AI 解读 ↓
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理性预期均衡：一般性存在与价格揭示的信息
- 研究问题
- 当资产交易者掌握不同信息且价格形成关系内生时，理性预期均衡能否存在，均衡价格又能揭示多少初始信息？
- 方法与思路
- 作者在特定资产交易模型中分析价格与初始信息的均衡关系，并针对有限初始信息状态研究均衡的一般性存在。
- 材料陈述的贡献
- 材料称，当初始信息状态有限时，在该模型中一般性地存在向所有交易者揭示全部初始信息的理性预期均衡。
- 阅读关注点
- 应核对模型结构、有限状态条件和“一般性”的数学含义，并明确完全信息揭示是否仅为某类均衡的存在结论。
- 阅读边界
- 所给 OpenAlex 内容混合摘要与引言；结论限于特定模型，不能推断所有均衡均完全揭示信息或推广到无限状态。
原文摘要
When traders come to a market with different information about the items to be traded, the resulting market prices may reveal to some traders information originally available only to others.The possibility for such inferences rests upon traders having "models" or "expectations" of how equilibrium prices are related to initial information.This relationship is endogenous, which motivates the term "rational expectations equilibrium."This paper shows that, in a particular model of asset trading, if the number of alternative states of initial information is finite then, generically, rational expectations equilibria exist that reveal to all traders all of their initial information. INTRODUCTION1WHEN TRADERS COME to a market with different information about the items to be traded, the resulting market prices may reveal to some traders something about the information available to other traders.This phenomenon might be important in the case of assets whose eventual values or utilities are not perfectly known to all traders at the time of purchase, as in the trading of land with uncertain quantities of mineral deposits, or in the trading of common stocks.A thorough theoretical analysis of this situation probably requires a more detailed specification of the trading mechanism than is usual in general equilibrium analysis.Nevertheless, it is tempting to try to obtain results that are as independent as possible of the specifics of the trading mechanism, by using some suitable concept of equilibrium.The possibility for one trader to make inferences from market prices about the information possessed by other traders rests upon his having a "model" or "expectations" of how equilibrium prices are determined, i.e., how equilibrium prices are related to the information initially possessed by the various traders.But this relationship is endogenous to the market system, and if traders have any opportunity to compare the results of the operation of the market with their own models, then a suitable equilibrium concept would require that their models not be obviously controverted by their observations of the market.This motivates the term "rational expectations equilibrium."The particular rational expectations equilibrium that one would obtain depends upon the traders' models or expectations of the relationship between traders' 1 I am grateful to Jerry Green, Leonid Hurwicz, James Jordan, and David Kreps for very helpful discussions of the problems treated in this paper.