dc.contributor |
Universitat Rovira i Virgili. Departament d'Economia |
dc.contributor.author |
Manzano, Carolina |
dc.contributor.author |
Vives, Xavier |
dc.date.accessioned |
2011-05-10T13:05:58Z |
dc.date.available |
2011-05-10T13:05:58Z |
dc.date.created |
2010 |
dc.date.issued |
2010 |
dc.identifier.issn |
1988 - 0812 |
dc.identifier.other |
T - 1838 - 2010 |
dc.identifier.uri |
http://hdl.handle.net/2072/151544 |
dc.format.extent |
46 |
dc.format.extent |
576086 bytes |
dc.format.mimetype |
application/pdf |
dc.language.iso |
eng |
dc.relation.ispartofseries |
Documents de treball del Departament d'Economia;2010-09 |
dc.rights |
Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/) |
dc.subject.other |
Expectatives racionals (Teoria econòmica) |
dc.subject.other |
Equilibri (Economia) |
dc.subject.other |
Cobertura del risc |
dc.subject.other |
Mercat eficient |
dc.title |
Public and private learning from prices, strategic substitutability and complementarity, and equilibrium multiplicity |
dc.type |
info:eu-repo/semantics/workingPaper |
dc.subject.udc |
336 - Finances. Banca. Moneda. Borsa |
dc.description.abstract |
We study a general static noisy rational expectations model where investors
have private information about asset payoffs, with common and
private components, and about their own exposure to an aggregate risk
factor, and derive conditions for existence and uniqueness (or multiplicity)
of equilibria. We find that a main driver of the characterization of
equilibria is whether the actions of investors are strategic substitutes or
complements. This latter property in turn is driven by the strength of
a private learning channel from prices, arising from the multidimensional
sources of asymmetric information, in relation to the usual public learning
channel. When the private learning channel is strong (weak) in relation
to the public we have strong (weak) strategic complementarity in actions
and potentially multiple (unique) equilibria. The results enable a precise
characterization of whether information acquisition decisions are strategic
substitutes or complements. We find that the strategic substitutability in
information acquisition result obtained in Grossman and Stiglitz (1980)
is robust.
JEL Classification: D82, D83, G14
Keywords: Rational expectations equilibrium, asymmetric information,
risk exposure, hedging, supply information, information acquisition. |