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Noisy Signaling in Monopoly
Mirman, Leonard J.; Salgueiro, Egas; Santugini, Marc - Institut d'Économie Appliquée, HEC Montréal (École … - 2011
We study the informational role of prices in a stochastic environment. We provide a closed-form solution of the monopoly problem when the price imperfectly signals quality to the uninformed buyers. We then study the effect of noise on output, market price, information flows, and expected...
Persistent link: https://www.econbiz.de/10008876408
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Distrust in experts and the origins of disagreement
Cheng, Ing-Haw; Hsiaw, Alice - 2017 - This draft: June 2017
Why do individuals interpret the same information differently? We propose that individuals follow Bayes' Rule when forming posteriors with one exception: when assessing the credibility of experts, they "double-dip" the data and use already-updated beliefs instead of their priors. Our proposed...
Persistent link: https://www.econbiz.de/10011756731
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Stability under learning of equilibria in financial markets with supply information
Heinemann, Maik - 2009
in this model. This note shows that these additional equilibria are always unstable under learning. This is true for both … eductive learning following Guesnerie [2002] and adaptive learning via leastsquares estimation (cf. Marcet and Sargent [1988 … clear cut, since this equilibrium might be unstable under eductive learning while it is always stable under adaptive …
Persistent link: https://www.econbiz.de/10003828717
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Privileged information exacerbates market volatility.
Desgranges, Gabriel; Gauthier, Stéphane - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2011
We study how asymmetric information affects market volatility in a linear setup where the outcome is determined by forecasts about this same outcome. The unique rational expectations equilibrium will be stable when it is the only rationalizable solution. It has been established in the literature...
Persistent link: https://www.econbiz.de/10009359817
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Multidimensional noise and non-fundamental information diversity
Russ, David - 2020
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...
Persistent link: https://www.econbiz.de/10012392302
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Existence of monotone equilibria in large double auctions
Barelli, Paulo; Govindan, Srihari - In: Theoretical economics : TE ; an open access journal in … 19 (2024) 2, pp. 565-582
We provide a shorter proof of the main result in Reny and Perry (2006, Econometrica) by establishing a lower semicontinuity property of auctions as the number of traders goes to infinity, leveraging existence of equilibria in the limit auction. Our proof also eliminates two of the assumptions in...
Persistent link: https://www.econbiz.de/10014576684
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Dynamic Noisy Rational Expectations Equilibrium with Insider Information
Detemple, Jerome; Rindisbacher, Marcel; Robertson, Scott - 2020
We study equilibria in multi-asset and multi-agent continuous-time economies with asymmetric information and bounded rational noise traders. We establish existence of two equilibria. First, a full communication one where the informed agents' signal is disclosed to the market, and static policies...
Persistent link: https://www.econbiz.de/10014096110
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Learning in a Perfectly Competitive Market
Mirman, Leonard J.; Salgueiro, Egas M.; Santugini, Marc - Centre Interuniversitaire sur le Risque, les Politiques … - 2014
We study learning in perfect competition. A representative price-taking firm sells a good whose quality is unknown to … the price, which, in turn, affects the competitive equilibrium through the learning process of the uninformed buyers. …
Persistent link: https://www.econbiz.de/10010942762
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An explanation for the price puzzle : asymmetric information and expectation dynamics
Tas, Bedri Kamil Onur - In: Journal of macroeconomics 33 (2011) 2, pp. 259-275
Persistent link: https://www.econbiz.de/10009248401
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Two-sided learning and short-run dynamics in a New Keynesian model of the economy
Matthes, Christian; Rondina, Francesca - In: Economics letters 159 (2017), pp. 53-56
Persistent link: https://www.econbiz.de/10011902888