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http://hdl.handle.net/10419/28144
  
Title:Strongly rational expectations equilibria with endogenous acquisition of information PDF Logo
Authors:Desgranges, Gabriel
Heinemann, Maik
Issue Date:2005
Series/Report no.:University of Lüneburg working paper series in economics 9
Abstract:This paper analyzes conditions for existence of a strongly rational expectations equilibrium (SREE) in models with private information, where the amount of private information is endogenously determined. It is shown that the conditions for existence of a SREE known from models with exogenously given private information do not change as long as it is impossible to use the information transmitted through market prices. In contrast, these conditions are too weak, when there is such learning from prices. It turns out that the properties of the function which describes the costs that are associated with the individual acquisition of information are important in this respect. In case of constant marginal costs, prices must be half as informative than private signals in order for a SREE to exist. An interpretation of this result that falls back on the famous Grossman–Stiglitz–Paradox is also given.
Subjects:Eductive Learning
Private Information
Rational Expectations
Strongly Rational Expectations Equilibrium
JEL:D82
D83
Document Type:Working Paper
Appears in Collections:Working Paper Series in Economics, Leuphana Universität Lüneburg

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