Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: May, 1979, Volume 47, Issue 3

Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices<655:REEGEA>2.0.CO;2-X
p. 655-678

Roy Radner

When traders come to a market with different information about the items to be traded, the resulting market prices may reveal to some traders information originally available only to others. The possibility for such inferences rests upon traders having "models" or "expectations" of how equilibrium prices are related to initial information. This relationship is endogenous, which motivates the term "rational expectations equilibrium." This paper shows that, in a particular model of asset trading, if the number of alternative states of initial information is finite then, generically, rational expectations equilibria exist that reveal to all traders all of their initial information.

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