Toward a strategic foundation for rational expectations equilibrium

被引：78

作者：

Reny, Philip J.

Perry, Motty

机构：

[1] Univ Chicago, Dept Econ, Chicago, IL 60637 USA

[2] Hebrew Univ Jerusalem, Dept Econ, IL-91904 Jerusalem, Israel

来源：

ECONOMETRICA | 2006年 / 74卷 / 05期

关键词：

information aggregation; double auction; equilibrium existence; monotone pure strategy; rational expectations;

D O I：

10.1111/j.1468-0262.2006.00703.x

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A step toward a strategic foundation for rational expectations equilibrium is taken by considering a double auction with n buyers and m sellers with interdependent values and affiliated private information. If there are sufficiently many buyers and sellers, and their bids are restricted to a sufficiently fine discrete set of prices, then, generically, there is an equilibrium in nondecreasing bidding functions that is arbitrarily close to the unique fully revealing rational expectations equilibrium of the limit market with unrestricted bids and a continuum of agents. In particular, the large double-auction equilibrium is almost efficient and almost fully aggregates the agents' information.

引用

页码：1231 / 1269

页数：39

共 22 条

[1] GENERIC EXISTENCE OF COMPLETELY REVEALING EQUILIBRIA FOR ECONOMIES WITH UNCERTAINTY WHEN PRICES CONVEY INFORMATION [J].