On Equilibrium Uniqueness in Multi-Asset Noisy Rational Expectations Economies

17 Pages Posted: 18 Jul 2015

See all articles by Dömötör Pálvölgyi

Dömötör Pálvölgyi

Eötvös Loránd University

Gyuri Venter

Warwick Business School

Date Written: July 16, 2015

Abstract

This paper studies equilibrium uniqueness in multi-asset noisy rational expectations economies with asymmetric information, an extension of Grossman and Stiglitz (1980). We show the existence of a linear equilibrium, and prove its uniqueness among equilibria with any continuous price function. Finally, we provide several other examples of multi-asset, asymmetric information economies that admit unique continuous equilibria.

Keywords: asymmetric information, noisy rational expectations, Grossman-Stiglitz, multiple assets, equilibrium uniqueness

JEL Classification: G12, G14, D40, D53, D82

Suggested Citation

Pálvölgyi, Dömötör and Venter, Gyuri, On Equilibrium Uniqueness in Multi-Asset Noisy Rational Expectations Economies (July 16, 2015). Available at SSRN: https://ssrn.com/abstract=2631627 or http://dx.doi.org/10.2139/ssrn.2631627

Dömötör Pálvölgyi

Eötvös Loránd University ( email )

Pazmany Peter setany 1A
Budapest, -- H1117
Hungary

Gyuri Venter (Contact Author)

Warwick Business School ( email )

University of Warwick, Gibbet Hill Road
Coventry, CV4 7AL
United Kingdom

HOME PAGE: http://sites.google.com/site/gyuriventer/

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