Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/72285
Authors: 
Shorish, Jamsheed
Year of Publication: 
2006
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 186
Abstract: 
The rational expectations equilibrium has been criticized as an equilibrium concept in market game environments. Such an equilibrium may not exist generically, or it may introduce unrealistic assumptions about an economic agent's knowledge or computational ability. We define a rational expectations equilibrium as a probability measure over uncertain states of nature which exploits all available information in a market game, and which exists for almost all economies. Furthermore, if retrading is allowed, it is possible for agents to compute such a 'functional rational expectations equilibrium' using straightforward numerical fixed point algorithms.
Subjects: 
market game
rational expectations equilibrium
Bayesian updating
learning
computation
JEL: 
G12
D83
C63
Document Type: 
Working Paper

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