Equilibrium Theory with Asymmetric Information and Infinitely Many States

• Published in: Economic theory Vol. 38; no. 2; pp. 295 - 320
• Main Authors: Hervés-Beloso, Carlos, Martins-da-Rocha, V. Filipe, Monteiro, Paulo K.
• Format: Journal Article
• Language: English
• Published: Berlin/Heidelberg Springer 01.02.2009; Springer-Verlag; Springer Nature B.V
• Subjects: Asymmetric information; Commodities; Competition; Competitive equilibrium; Consumption; Economic competition; Economic theory; Economic Theory/Quantitative Economics/Mathematical Methods; Economic uncertainty; Economics; Economics and Finance; Equilibrium; Game Theory; Information asymmetry; Information economics; Information economy; Information theory; Mathematical lattices; Mathematical vectors; Microeconomics; Public Finance; Random variables; Social and Behav. Sciences; State of nature; Studies; Symposium; Symposium on Equilibria with Asymmetric Information; Asymmetric information; D51; Continuum of states; Properness; Competitive equilibrium; D82
• ISSN: 0938-2259; 1432-0479
• DOI: 10.1007/s00199-008-0359-3

Radner(Econometrica 36, 31-58 1968) proved existence of a competitive equilibrium for differential information economies with finitely many states. We extend this result to economies with infinitely many states of nature. Each agent observes a public and a private signal. The publicly observed signal may take infinitely many values but, in order to get existence, we assume that private signals only take finitely many values. Actually, there is no hope to get a general existence result since Podczeck et al. (Vienna University Working Papers 2008) already proposed non-existence results.