English, Article, Journal or magazine article edition: Constraints and Non-Existence of Rational Expectations Equilibria José M. Marín; Jacques Olivier

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Constraints and Non-Existence of Rational Expectations Equilibria
Author
  • José M. Marín
  • Jacques Olivier
Physical Description
  • preprint
Notes
  • 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.
  • Rational expectations, short sale constraints, existence of equilibrium
  • RePEc:upf:upfgen:225
Language
  • English
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