Singapore Management University
Kwansei Gakuin University
抄録
We study a simple two period economy with no uncertainty and complete markets where agents trade based on forecasts about the second period spot price. We propose as our solution concept a set of forecasts with the following properties: there exist (heterogenous) forecasts contained in this set that lead to efficient allocations, the set contains only those forecasts that correspond to some efficient equilibrium, and finally that the forecasts assign positive probability to the actual market clearing spot price. We call such a set of prices an efficient equilibrium with ambiguity, and interpret it as a generalization of Radner equilibrium that delivers efficient allocations under forecasts that possess a self-fulfilling property that is weaker than perfect foresight.
内容記述
Publiser's another name: JSPS Grants-in-Aid for Scientific Research (S) Central Bank Communication Design
JEL classi cation numbers : D51, D53, D61
Efficiency, Quality of Forecasts and Radner Equilibria
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