Publication Type
Working Paper
Version
publishedVersion
Publication Date
6-2020
Abstract
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 Önally 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-fullling property that is weaker than perfect foresight.
Discipline
Economic Theory | International Economics
Research Areas
Economic Theory
First Page
1
Last Page
17
Publisher
University of Tokyo, Faculty of Economics, Working Paper No. 24
City or Country
Tokyo
Citation
CHATTERJI, Shurojit and KAJII, Atsushi.
Efficiency, quality of forecasts and Radner equilibria. (2020). 1-17.
Available at: https://ink.library.smu.edu.sg/soe_research/2510
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.