On Equilibrium Uniqueness in Multi-Asset Noisy Rational Expectations Economies
17 Pages Posted: 18 Jul 2015
Date Written: July 16, 2015
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
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