Volver a Working Papers

Paper #225

Título:
Constraints and non-existence of rational expectations equilibria
Autores:
José M. Marín y Jacques Olivier
Fecha:
Julio 1997
Resumen:
In this article we show that in the presence of trading constraints, such as short sale constraints, the standard definition of a Rational Expectations Equilibrium allows for equilibrium prices that reveal information unknown to any active trader in the market. We propose a new definition of the Rational Expectations Equilibrium that incorporates a stronger measurability condition than measurability with respect to the join of the information sets of the agents and give an example of non-existence of equilibrium. The example is robust to perturbations on the data of the economy and the introduction of new assets.
Palabras clave:
Rational expectations, short sale constraints, existence of equilibrium
Códigos JEL:
D40, D46, D50, D82, G12
Área de investigación:
Finanzas y Contabilidad

Descargar el paper en formato PDF