Use this identifier to quote or link this document: http://hdl.handle.net/2072/43862

Information Dispersion and Equilibrium Multiplicity
Manzano, Carolina; Vives, Xavier
Universitat Rovira i Virgili. Departament d'Economia
This paper studies the implications of correlation of private signals about the liquidation value of a risky asset in a variation of a standard noisy rational expectations model in which traders receive endowment shocks which are private information and have a common component. We …nd that a necessary condition to generate multiple linear partially revealing rational expectations equilibria is the existence of several sources of information dispersion. In this context equilibrium multiplicity tends to occur when information is more dispersed. A necessary condition to have strategic complementarity in information acquisition is to have mul- tiple equilibria. When the equilibrium is unique there is strategic substi- tutability in information acquisition, corroborating the result obtained in Grossman and Stiglitz (1980). JEL Classi…cation: D82, D83, G14 Keywords: Multiplicity of equilibria, strategic complementarity, asym- metric information.
2009
336 - Finances. Banca. Moneda. Borsa
Informació -- Aspectes econòmics
Incertesa (Teoria de la informació)
Eficiència (Estadística)
Mercat de capitals
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/)
Working Paper
1988 - 0812
Documents de treball del Departament d'Economia;2009-20
         

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