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Title:A large-market rational expectations equilibrium model PDF Logo
Authors:Vives, Xavier
Issue Date:2011
Series/Report no.:CESifo working paper: Industrial Organisation 3485
Abstract:This paper presents a market with asymmetric information where a privately revealing equilibrium obtains in a competitive framework and where incentives to acquire information are preserved. The equilibrium is efficient, and the paradoxes associated with fully revealing rational expectations equilibria are precluded without resorting to noise traders. The model admits a reinterpretation in which behavioral traders coexist with rational traders, and it allows us to characterize the amount of induced mispricing.
Subjects:adverse selection
information acquisition
double auction
multi-unit auctions
rate of convergence
behavioural traders
complementarities
JEL:D82
D84
G14
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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