In this paper, I relax the common assumption of the one-dimensionality of noise made in the standard competitive noisy rational expectations framework. Within an environment characterized by multidimensional noise, I explore the strategic interactions between different traders that are informed...

We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...

We show that a rational expectations equilibrium need not be incentive compatible, need not be implementable as a perfect Bayesian equilibrium and may not be fully Pareto optimal, unless the utility functions are state independent. A comparison of rational expectations equilibria with core...