A New Perspective on Rational Expectations

摘要: A central problem of rational expectations equilibrium (REE) theory is that a REE may fail to exist. This failure known since Kreps (1977). The influential papers Radner (1979) and Allen (1981) were able establish exists only generically. We show this undesirable feature related the assumption individuals are expected utility maximizers (Bayesians). If have ambiguity aversion in form maximin (MEU) model introduced by Gilboa Schmeidler (1989), then universally not To prove this, we provide suitable generalization REE, which call (MREE). MREE allocations need be measurable with respect private information each individual prices generate, as it case Bayesian REE. also efficient incentive compatible. These results false for