TY - JOUR
T1 - Admissible market data structures
T2 - A complete characterization
AU - Jordan, J. S.
N1 - Funding Information:
* This paper is a reexposition of some results originally presented in 151. I would like to thank the referees and Professor K. Border for some useful suggestions. This paper was supported by NSF Grant SOC-77-07852. Any errors, reexposited or otherwise, are my own.
PY - 1982/10
Y1 - 1982/10
N2 - This paper characterizes the market data which, if observed by traders in a stochastic exchange environment, will permit the general existence of (rational) expectations equilibria. It is proved that if a trader observes and conditions his expectations on some nonconstant market data, he must observe at least the equilibrium price and his own equilibrium trade. Any data which do not satisfy this requirement, such as the price alone, or the price and the volume of trade, will fail to permit the existence of an expectations equilibrium for some otherwise well-behaved stochastic environment.
AB - This paper characterizes the market data which, if observed by traders in a stochastic exchange environment, will permit the general existence of (rational) expectations equilibria. It is proved that if a trader observes and conditions his expectations on some nonconstant market data, he must observe at least the equilibrium price and his own equilibrium trade. Any data which do not satisfy this requirement, such as the price alone, or the price and the volume of trade, will fail to permit the existence of an expectations equilibrium for some otherwise well-behaved stochastic environment.
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U2 - 10.1016/0022-0531(82)90089-8
DO - 10.1016/0022-0531(82)90089-8
M3 - Article
AN - SCOPUS:37349128732
SN - 0022-0531
VL - 28
SP - 19
EP - 31
JO - Journal of Economic Theory
JF - Journal of Economic Theory
IS - 1
ER -